Phoenix and Daisy Mountain Fire Department officials said the collision and crash involved two single-engine planes with two people in each aircraft.
Officials said the crash occurred around 10 a.m. in far north Phoenix, some 15 miles northwest of Deer Valley Airport.
One of the planes was registered to Bird Acquisition LLC, which does business as TransPac Aviation Academy, a school for commercial pilots in north Phoenix.
TransPac issued a statement Friday afternoon that said two of its instructors died in the crash.
The business said it wasn't immediately releasing the names of the two men or any personal information about them "out of respect for the families during this time of sadness and grieving."
The plane that burned reportedly was registered to an aircraft leasing company that has an office at Deer Valley Airport.
Several bystanders reported seeing the Cessna and Piper collide but the flight directions of the planes before the crash or other details weren't immediately available, authorities said.
"Both of them collided. We don't know how or what," said Phoenix Fire Department Capt. Larry Nunez. "The skies are clear."
An initial report said three people were killed and two people were injured. Fire officials with the Phoenix and Peoria city fire departments and Daisy Mountain Fire Department later said four people had died and there were no survivors.
Television news footage showed only charred wreckage left from one of the planes, while the other was fairly intact.
Federal Aviation Administration spokesman Ian Gregor said the National Transportation Safety Board and the FAA will investigate.
Gregor said federal investigators were en route to the crash scene Friday afternoon, but it typically takes several months for the NTSB investigation to determine a probable cause for air accidents.