A scene examination is underway and the Civil Aviation Authority will be investigating, police said in a statement.
"Police's thoughts are with the families of the two men involved at this tragic time."
Police had been working with RCCNZ and LandSAR to locate the plane since last night.
The aircraft was reported overdue about 8:30pm yesterday after taking off from Foxpine.
The wreckage was located around 7:30am today.
Foxpine Airfield operator Keven Roberts confirmed the missing plane was on a training flight and they appeared to be heading towards Masterton for training.
He said the last contact with the aircraft was at the Tararua Ranges.
Roberts said he had been involved in the search last night but they had been "searching in the wrong place."