It happened Sunday 150 miles northeast of Albuquerque in the community of Angel Fire.
New Mexico State Police identify the pilot as 33-year-old John Phillip Verhalen III, his 41-year-old sister, Sara Verhalen, and her 13-year-old daughter, Chloe Marie Jameson.
The fourth victim is identified as the pilot's girlfriend, 26-year-old Jennifer Woodward.
A spokesman says he doesn't have information on where the victims lived, but the FAA says the plane was owned by a company in Scottsville, Texas, which is about 150 miles east of Dallas.
The cause of the crash is under investigation.