The Federal Aviation Administration in Seattle said the plane went down at about 10:15 a.m. MDT, shortly after takeoff, then burned.
The pilot of the Cessna 182 operated by Skydive Lost Prairie was carrying two skydiving instructors and two trainees to jumps, said Michael Morrill, manager of the business. He said the crash happened on Sky Dive Lost Prairie's land. The company advertises a private airport surrounded by mountains.
The plane, which had taken off in clear, sunny weather, was destroyed. A news reporter at the scene later in the day reported the wreckage was about 150 feet from the end of a runway.
Names of those killed were not released immediately. All were from Montana, Morrill said. The bodies were removed from the wreckage Saturday afternoon.
Morrill said the pilot began working for Sky Dive Lost Prairie about 10 days ago and was experienced, with more than 500 hours of flying time. He had a commercial rating, Morrill said.
Federal aviation safety investigators were to arrive at the scene Sunday.
A woman acquainted with one of the experienced skydivers told The Daily Inter Lake of Kalispell that she went to the crash scene and "wanted to go out there and pull out my friends, but I couldn't."
The plane crashed while the woman, Deana Schrader, and her son were in a cabin nearby. The boy, 14-year-old Joseph Skokan, said he was watching television in the cabin, heard a plane take off and "a minute later I heard a boom, looked out the window and saw the plane burning."
The skydivers were heading off to tandem jumps in which trainees are attached to instructors, who control the parachute that carries both people to the ground, Morrill said. The parachutists were to fly for about 30 minutes, free fall for 30 seconds or so and then have a 5-minute "canopy ride" to the ground, Morrill said.
The crash happened soon after the start of Skydive Lost Prairie's season. It begins in the spring and continues for four or five months, until the weather turns cold.
Skydiving in Montana happens on a relatively small scale, with perhaps 60 or 70 people who are experienced jumpers, said Tina Sanders of Skydive Montana in Ronan, another business that offers jumps. She said the aficionados are a close-knit group. Sanders said she got word of the fatal crash when another skydiver called her about 15 minutes after it happened.