Essex Police said the vehicle travelled from Bulgaria and entered the UK on Saturday via Holyhead, Anglesey, over 300 miles from where the bodies were recovered from Waterglade Industrial Park in Grays at around 1.40 am BST on Wednesday, the Telegraph reported.
Holyhead is the second-busiest ferry port in the UK after Dover.
Essex Police said early indications are that 38 adults and one teenager have died, BBC reported.
Police have arrested the lorry driver, a 25-year-old man from Northern Ireland on suspicion of murder.
"We have arrested the lorry driver in connection with the incident, who remains in police custody as our inquiries continue," Chief Superintendent Andrew Mariner said.
He said that police are trying to identify the victims.
Prime Minister Boris Johnson said he was "appalled" by the shocking incident.
"I am receiving regular updates and the Home Office will work closely with Essex Police... My thoughts are with all those who lost their lives and their loved ones," BBC quoted Johnson as saying.
Seamus Leheny, Northern Ireland policy manager for the Freight Transport Association, said if the lorry had come from Bulgaria, entering into Britain via Holyhead was an "unorthodox route".
"People have been saying that security and checks have been increased at places like Dover and Calais, so it might be seen as an easier way to get in by going from Cherbourg or Roscoff, over to Rosslare, then up the road to Dublin," he said.
"It's a long way around and it will add an extra day to the journey."
( With inputs from IANS )