Brother of Lori Vallow Daybell speaks out on their relationship, sister's murder charges

Adam Cox has a hard time coming to grips with what has happened to his family.

"Our family is nothing the way it used to be... You don't know who to trust, who's saying what, what actually happened," Cox said in an exclusive network interview with ABC's "20/20."

Cox is the brother of Lori Vallow, a name made infamous around the world after she and her husband Chad Daybell were charged with the murders of Vallow's children, J.J. Vallow and Tylee Ryan. Alex Cox, the brother of Adam Cox and Lori Vallow, was also implicated in the murders, according to the indictment.

"There's so much deceit. And some family members may believe one thing, and other family members may believe another thing," said Cox, referring to how Lori Vallow and Alex Cox explained events to other family members.

Cox remembers his younger sister from a simpler time: growing up in Southern California as the middle of five siblings; teaching her how to shoot a basketball; her joining the cheer squad in ninth grade; even her brief marriage to her high school sweetheart.

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"There was nothing odd, there was nothing alarming or something that you would think that, 'How could she go off and do these things?'" Cox said.

More than two years ago, the nation became captivated by the story of two missing children and their mother who didn't seem to be looking for them. The investigation uncovered an even darker tale, including a string of deaths of people close to Vallow and Daybell, as well as their adherence to a strange doomsday ideology.

In the months leading up to the tragedies, Adam Cox began to notice an unsettling shift in his sister's behavior. He says She would tell him that she had spoken to Jesus Christ "face to face" and that she was a "translated being" who could not die.

"I looked at her, and she looked at me, and I was like, 'Lori, what you're saying is not true... This is nonsense,'" said Cox. "And she goes, 'You think I'm crazy, don't you?'"

"From that point, she tried to cut everything off with me," Cox added.

Cox said he reached out to their mother.

“I was like, ‘Look, Lori is saying some crazy stuff. We gotta do something.’ And my mom was like, ‘Well, she's never said that to me. I never heard her say that,’” said Cox.

“20/20” spoke to Janis Cox a month before the bodies were found.

“Adam told us he was really worried about Lori,” said Janis Cox. “He didn't specify, but he said to me, he said ‘Mom, don't you think Lori has some crazy beliefs?’ And I said, ‘No, I don't think Lori has crazy beliefs. She's taking care of JJ, Lori's just living a normal life.’”

Cox did, however, find that Vallow’s estranged husband, Charles Vallow, shared his concerns about what they saw as a troubling change in her mental state. Charles Vallow had called police about Vallow’s alleged threats against him. He had even filed for divorce before changing his mind and trying to reconcile.

Charles Vallow and Cox planned to stage an intervention for Vallow at her Arizona home in July 2019, but the intervention never happened.

A violent confrontation allegedly unfolded at Vallow’s home when Charles Vallow arrived to take J.J. to school. It ended with Alex Cox shooting and killing Charles Vallow. Alex Cox claimed to detectives that he killed Charles Vallow in self-defense while trying to protect his sister and his niece, Tylee.

In the final years of their marriage, Vallow had reportedly become fascinated with Daybell, an author of religious doomsday novels.

In order to be closer to Daybell, a married father of five, Lori Vallow, J.J., Tylee and her brother Alex Cox relocated from Arizona to Rexburg, Idaho, in September 2019. Daybell’s wife, Tammy Daybell, died unexpectedly in October 2019.

Police say the last time Tylee was seen alive was on a trip to Yellowstone National Park on Sept. 8, 2019. J.J. was last seen alive in Vallow's apartment on Sept. 22, 2019, according to law enforcement.

Growing desperate after months of silence from Vallow, relatives of J.J. turned to the authorities for help. Police in Idaho conducted a welfare check at Vallow's home on Nov. 26, 2019, and were given differing explanations of the children's whereabouts that were determined to be false.

Police returned the next day to find Vallow gone and her home vacated.

Unbeknownst to many of Vallow and Daybell's friends and family, they had already married earlier that month in Hawaii in an intimate beach ceremony.

On Dec. 20, 2019, Rexburg police and the FBI issued a press release announcing J.J. and Tylee were missing and endangered, and that Vallow and Daybell had fled the area, launching the story into national headlines.

The newlywed couple was eventually located, living on the Hawaiian island of Kauai, but they would not answer questions about the children's whereabouts.

"I had the same gut feeling in my stomach, the same way I had the same gut feeling when Charles was killed," said Adam Cox. "And I thought, 'If she's not saying where the kids are, the kids are dead.'"

Eventually, a forensic examination of Alex Cox's phone led investigators to the backyard of Chad Daybell's property, where on June 9, 2020, the buried remains of J.J. and Tylee were discovered. J.J.'s body had been wrapped in plastic and duct tape, while Tylee's remains had been dismembered and burned.

"I know I went into shock again and thought, 'Why in the world would they kill the kids and then bury them on Chad's property?'" said Adam Cox. "It's heart-wrenching. It's an emotional disaster... You get a sick feeling in your stomach that that could even happen."

Vallow is now charged in connection to four deaths in two states: Vallow's children, her husband Charles Vallow, and Daybell's former wife, Tammy Daybell.

Daybell was also indicted in connection with the death of Vallow’s children, along with other charges that include conspiracy to commit murder in the death of his wife and also on one count of first-degree murder in her death.

Investigators believe that Alex Cox, who was determined to have died from natural causes in December 2019, played a role in all of the killings.

Adam Cox is still struggling to make sense of everything that has unfolded.

"Whatever plan they had, I really believe that they thought they were gonna get away with it," he said.

Lori Vallow and Chad Daybell's trials are both scheduled for 2023 in Idaho. Daybell has pleaded not guilty, while Vallow has been deemed incompetent to stand trial and is receiving treatment at a mental health facility. She has not entered a plea.

Adam Cox said he cannot even begin to fathom what justice looks like for J.J. and Tylee.

"Jail for the rest of their life is not good enough. Death isn't good enough," said Adam Cox. "If you think about what those kids went through, is there anything that could bring justice to what happened to those kids?"