The plane crashed a half-mile off the coast at about 4 p.m. Sunday, The Baltimore Sun reported.
Crews said they believe they found where the plane, a Nanchang CJ-6A, sank in the water and have marked it with buoys.
On Monday, Maryland State Police divers and members of the U.S. Coast Guard began an off-shore search, said Boatswain's Mate 2nd Class Jeffrey Jonsson of Coast Guard Station Ocean City.
"They are searching for a possible downed plane with two persons on board," Jonsson said.
The cause of the crash was not reported.
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Cyclist struck and dragged underneath car