The pilot and passengers were killed Tuesday evening when the single-engine plane hit a house, the Jackson (Miss.) Clarion-Ledger reported.
A woman in the house escaped through a window.
Firefighters working to put out the blaze caused by the crash were unable to locate any remains of the passengers, said Emily Latham, daughter of Roger Latham, president of Superior Pallet Co, the registered owner of the plane.
"They can't find either of them," she said. "They can't find anybody."
The identities of the passengers have not yet been released.
Emily and her mother, Michele Latham, vice president of the company, went to the scene after receiving a call from Roger Latham.
Emily Latham said her father was supposed to be on the flight, but he decided to go hunting.
She said she did not know the pilot, John Tilton of Ridgeland, very well, but that he had military experience.
The plane had just taken off from Hawkins Field, officials said, when Tilton radioed that he needed to return to the airport.
Tilton had not filed a flight plan. Clarence Chaffin, an employee of Aero Jackson that operates out of Hawkins Field, said "he told people here he was just going to fly around and come back."