The sheriff's office says three adults and three children were aboard the plane.
Rescue crews flown in by helicopter to reach the crash site in rugged terrain reported finding two debris field on fire, suggesting that the plane broke apart on impact, the Pinal County sheriff's office said.
Federal Aviation Administration spokesman Allen Kenitzer says the Rockwell AC69 had just departed from Mesa's Falcon Field when it crashed about 40 miles east of downtown Phoenix. Authorities started getting calls reporting an explosion near the peak of a mountain at about 6:30 p.m.
The plane was registered to Ponderosa Aviation Inc. in Safford, Ariz. A man who answered the phone Wednesday night at Ponderosa Aviation declined to comment on the crash and refused to identify himself.
Calls to Falcon Field, which mostly serves small, private planes, weren't immediately returned.
Kenitzer said the FAA and National Transportation Safety Board would be investigating the cause of the crash.
Rescue crews who arrived by helicopter reported finding 24-inch tires at the crash site, which would indicate a small twin-engine plane.
Pinal County sheriff's spokeswoman Angelique Graham said people who heard an explosion near the Flat Iron area close to Lost Dutchman State Park.
"People said it sounded like fireworks going off," Graham said.
Some witnesses told Phoenix-area television stations they heard a plane trying to rev its engines to climb higher before apparently hitting the mountains. The elevation is about 5,000 feet at the Superstition Mountains' highest point.
Video showed several fires burning on the mountainside, where heavy brush is common.
The region near Lost Dutchman State Park and the Superstition Wilderness is filled with steep canyons, soaring rocky outcroppings and cactus. Treasure hunters who frequent the area have been looking for the legendary Lost Dutchman mine for more than a century.