The aircraft, possibly part of a squadron of five, had left Uganda's Entebbe airport for the Somali port of Kismayo, The New York Times reported.
They were to be part of the military forces aiming to push the extremist Islamic group al-Shabaab out of one of its last strongholds in Somalia, officials said.
The pilot of one helicopter radioed for help before it apparently went down over Mount Kenya, Kenyan news reports said.
Uganda has provided the bulk of the African Union peacekeeping force working since 2007 to oust al-Shabaab.
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