A spokesman for the Sedona Fire Department confirmed the deaths but said he could not identify the victims, CNN affiliate KPHO reported.
The plane was registered to Pat Porter, a two-time Olympian and an eight-time U.S. cross country champion. He finished 15th in the 10,000 meters at the 1984 Olympics in Los Angeles and also raced the event in 1988 in Seoul, South Korea.
His wife, Trish, was also an Olympian in 1988. The couple lives in Albuquerque, New Mexico.
Ron Wheeler, a spokesman for the Sedona Police department, told CNN the plane struck a fence after going off a runway.
KPHO reported that a witness said the plane, a twin-engine Beech 60, was trying to take off.
The National Transportation Safety Board is investigating the crash, KPHO reported.