Robert Leeming, 34, was questioned by police over the disappearance of his tenant Jasmine Lovett, 25, and her infant daughter Aliyah Sanderson.
The pair haven’t been since April 18.
Police were called after Jasmine and Aliyah didn’t turn up for a family dinner a week later.
Now cops are searching a wooded area in Southern Alberta, in the west of Canada, for the pair.
But their search had to be suspended because of a heavy snow storm.
Leeming — who is reported by the Mail Online to have experience in the British Army before settling in Canada — insists he has done nothing wrong.
After police questioned him, he spoke to reporters outside a bar while a forensics team searched his house.
“They will find nothing because I did nothing wrong,” he said.
He said he had previously been in an intimate relationship with Jasmine, who had lived with him for the past seven months.
“They will find nothing because I did nothing wrong”
Leeming said he had “no issue with them at all”.
He described how he had been “traumatised” by the experience, and said he had no idea what had happened and hadn’t seen Jasmine since April 18.
Leeming said the three had been to a picnic area near Bragg Creek in Southern Alberta, a day before they disappeared.
He said police “almost bashed the door down” when they arrested him at 11am local time on Thursday.
The Germany-born Wiltshire-raised soldier was questioned for 24 hours by Canadian police before they released him.
They said his bank card had been used for online delivery, but police didn’t know who made the purchase or where it was sent.
Canadian media claims Leeming moved to Canada in 2013 and says he has permanent residence.
Last year, he pleaded guilty to three animal welfare charges.
Police are looking to speak to anyone who saw a white man in his mid-30s driving a grey Mercedes SUV between April 16 and 20.
Leeming confirmed he drives an identical car.
Aliyah’s aunt, Josie Sanderson, said: “I really just want them found — that’s it.
“I want some closure.”