The Spanish fire service could not confirm that the dead were children.
High windssting in some places caused at least six other deaths in Spain and France, officials said, totaling at least 13 deaths in the last two days.
In France, gales cut power supplies to more than one million homes and closed roads, railways and airports.
Local authorities in the Landes region said one person was killed and one seriously injured when a tree fell on a car.
|A million homes in southwest France were left without electricity [AFP]
On Friday, a woman was killed in Barcelona when part of a wall fell on her, radio and newspapers reported.
Police in the northern Spanish province of Galicia said a falling tree killed a policeman directing traffic.
Michel Barnier, France's agriculture minister, said the storm was "the worst since 1999" and said his government would call on the European Union to help fund reconstruction efforts once the extent of the damage becomes clear.
Winds of up to 173km an hour on the coast and 160km an hour inland paralysed southwest France.
Meteo France, the French weather agency, placed the region under red alert and asked residents to stay indoors for their own safety.
"Stay at home and avoid any outdoor activity. If you must go out, use extreme caution," it said in a statement.
The road traffic agency issued a list of roads and bridges blocked by fallen trees or too dangerous to use.
The airports at Bordeaux, Biarritz, Pau and Toulouse were closed, officials said.
Spanish authorities warned people to stay away from beaches and harbours as eight-metre waves pounded the coast.
The northern province of Cantabria and the Catalonia region in the northeast remained on alert because of high winds.