Tylee Ryan, 17, and her younger brother, seven-year-old Joshua “JJ” Vallow have not been seen since September.
Chad Daybell politely listened to ABC reporter Marcus Moore’s questions, but refused to answer them.
“I just can't comment. I just can't comment,” he said.
Asked if there was anything he would like to say to people concerned about the whereabouts of his step children, his own welfare, or that of his wife, Mr Daybell replied: “Just grateful for any support. We'll have to wait for the legal process to work through.”
Ms Vallow was arrested in Hawaii on 21 February on child abandonment and desertion charges after she failed to comply with a Madison County, Idaho, order to physically produce her children by 30 January. The couple had previously lived in Idaho.
Relatives say a radical doomsday group, which Ms Vallow is believed to be in, could be connected to the children's disappearance.
Ms Vallow reportedly believes she is “a god assigned to carry out the work of the 144,000 at Christ's second coming in July 2020”.
Police have plans for a thorough search of Yellowstone Park, once the winter's snow melts. Phone records showed that both children, their mother, and their uncle visited the park on 8 September.
A photo “obtained from Ms Vallow's iCloud account” shows Tylee at the park.
— Good Morning America (@GMA)February 26, 2020
While concern for the missing children is at the forefront of the investigation, that is just the part of a wider story involving the deaths of both Ms Vallow’s former husband, shot dead by her brother, and the death of Mr Daybell’s former wife.
The children then disappeared, not long after Ms Vallow and Mr Daybell got married. Then in late November the couple left Idaho for Hawaii. In December, Mr Daybell’s former wife’s body was exhumed for autopsy, and Ms Vallow’s brother died mysteriously in Arizona.
Ms Vallow is being held with bail set at $5m.