Azat Rozahong taught his sons, one five, the other six, to fire a gun and can be seen in a documentary filmed by the boys' mother.
Their youngest child, a one-year-old daughter, was startled and cried out but no one paid any attention.
The six-year-old pulled the trigger with help from his father. The clip, filmed at a terrorist training camp near China's border with Afghanistan and Pakistan, showed the bullet hitting a tree.
"I didn't feel a thing at the time. When I look back now, it's painful to see my children suffering," Azat said in the documentary. He and his wife are now being held at a detention centre in Xinjiang.
His wife hated their life abroad and worries about her children. Watching pigeons is their only entertainment and they keep crying. Her daughter has experienced repeated seizures due to a lack of nutrition.
The youngsters' education and future prospects are dim. Her eldest son can only sing one song, about holy war, and the cartoons they read are full of killing.
In another video filmed by terrorists, a father asks his son who played with his gun: "Who are you going to shoot at?" A childish voice replies: "To kill heretic!"
The road along which Azat led his wife and children is called yijilate, which means "migration" in the Uygur language. The concept has been transformed into a movement by religious extremists who urge people to leave their homes to carry out holy war overseas.
"Many terrorist organisations use the concept of yijilate to recruit people from other countries to fight for them. They have established human-trafficking chains to help people leave their home countries illegally," said Yang Shu, director of the Central Asia Studies Center at Lanzhou University in Gansu province, who studies international terrorism.
The yijilate movement began to penetrate Xinjiang, a predominantly Muslim region, in the late 1980s and early 1990s, but it wasn't until 1996 that the authorities noticed a surge in the number of people crossing the border illegally to join international terrorist groups, he said.
According to Xinjiang police, 90 per cent of terrorist attacks carried out in the region are connected with yijilate or are conducted by terrorist cells to promote the notion that people should carry out attacks at home if they are unable to leave the country.