It was unclear how many people were on board the plane, but aviation websites say that type of aircraft can carry a maximum of about 10 individuals.
The crash occurred near a remote summit in the Superstition Mountains called Flat Iron, said Elias Johnson, a spokesman for the Pinal County Sheriff's Office.
The Superstition Mountains are 45 miles east of Phoenix.
An officer with the Arizona Department of Public Safety was dropped into the area by helicopter to assess the situation, and a 12-person search and rescue team will make a hike of about six hours to reach the crash site, Johnson said.
Live images on local 12 News showed a fire blazing in a darkened landscape, surrounded by smaller points of flame. It was not possible to make out the shape or form of an aircraft or any debris.