The man was holding the children when they were all swept up by a wave in the Falcon Cove area, about 80 miles west-northwest of Portland, about 12:38 p.m., police said.
An officer who arrived at the scene found the father struggling to get out of the ocean and the girl further out in the ocean, Oregon State Police said.
The juveniles have not been publicly identified.
A Manzanita Police Department officer dove into the surf to rescue the girl, KATU reported. Officials advised people to avoid beaches and jetties, as waves were expected to remain above 25 feet throughout Saturday.
The forecast said waves would be about 10 feet Saturday, putting the surf height around 30 feet.
A helicopter helped search for the boy, but Coast Guard vessels couldn't assist because of rough seas. By 6 p.m. the search was suspended without the boy being found, according to the station.
Rescuers pulled the man and the girl from the water, a spokesman for the U.S. Coast Guard said, though both were unresponsive. It's also close to the small coastal community of Arch Cape. The girl was pronounced dead at the hospital.
The father's condition was not immediately available. "We're obviously hoping for the best, but at this point it's very challenging".
"The public is urged to stay away from jetty's and rocks during these unsafe surf conditions", the Coast Guard tweeted.