A shocked mother told neighbours her "little girl" had been stabbed as they tried to comfort her after the youngster was allegedly attacked by her father.
Schoolgirl Mylee Billingham died in hospital after she was found critically injured in Brownhills, near Walsall, on Saturday night.
Mark Billingham, star of Channel 4's SAS: Who Dares Wins and understood to be Mylee's uncle, issued a short statement.
A 54-year-old man, reported to be Mylee's father Bill Billingham, is fighting for his life in hospital after he was found with stab wounds at a bungalow in Valley View.
He was arrested after what West Midlands Police said was a "domestic incident".
The suspect posted a picture of the eight-year-old girl, who he called "Moo", on Facebook on the same night she was found.
In it, she was sitting up in bed with two plates of pizza on her lap.
Police said they are not looking for anyone else in connection with the investigation. A post-mortem examination will take place on Monday.
Bill's brother Mark, who appears to have deleted his Twitter and Facebook accounts, said in a short statement: "Please respect my family's privacy. There will be no further comment at this time."
Mr Billingham, a former Sergeant Major, was once a bodyguard to A-list stars including Brad Pitt, Angelina Jolie, Tom Cruise and Clint Eastwood.
He was in the Special Air Service for 27 years and appeared as an instructor to the recruits on Channel 4's SAS: Who Dares Wins in 2016.
He was awarded an MBE in 2005 for leading a mission in Iraq to rescue British hostage Norman Kember.