Sheriff's office spokeswoman Melissa Bujeda said two bodies -- those of a man and a woman -- were found at the crash site Sunday and a dive team found the third victim in the water, the Times-Union in Jacksonville reported.
She said the plane was traveling to Craig Airport, where officials told police the pilot couldn't see the runway and was told to fly around. The tower soon was alerted that the plane lost altitude, Bujeda said.
Bujeda said she wouldn't speculate on whether weather played a factor in the crash.
"We know it crashed into the retention pond, and we're very fortunate it did not hit any homes because [there] could [have been] a lot more fatalities than we are talking about right now," Bujeda said.
She said the National Transportation Safety Board and the Federal Aviation Administration would investigate.
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