The plane crashed after striking some trees about 2 or 3 miles southeast of the airport, KNXV-TV, Phoenix, reported Tuesday.
"It was banking left as planes typically do when they head towards Sedona and the wing was pointed towards the ground and it went down," said Pat Policastro, who witnessed the crash. "It was like a bomb going off, I mean the whole earth shook."
The explosion created a small forest fire in the area, though nearby residents and emergency personnel extinguished the flames, containing it to only a quarter acre, KTVK-TV, Phoenix, reported.
Officials have not released the identity of the crash victims, who were headed to Tuba City on the Navajo Nation in Arizona. Gregor said the plane was registered in California.