The Learjet charter plane went down about a mile south of Chicago Executive Airport in Wheeling, Illinois, as it prepared to land, the Federal Aviation Administration said.
Media here reported that the National Transportation Safety Board, which sent accident investigators to the scene, said the pilot and co-pilot were killed.
Names of the dead have not been released by the authorities.
The small jet had been cleared for final approach when it crashed into the Des Plaines River.
Authorities said no trouble were reported by the pilots nor were there any signs of fire or explosion.
National Transportation Safety Board senior safety investigator Pam Sullivan said they would "look at the systems, the structure, the engine".
The plane had taken off from the Oakland County International Airport near Detroit and was supposed to pick up cargo at the Chicago Executive Airport, then head to the DeKalb Peachtree Airport in Atlanta.
Chicago Executive Airport, formerly known as Palwaukee Airport, is Illinois's fourth busiest and serves general and business aviation.
Video of the crash scene showed the plane had broken up in the river and there were two different areas that contained debris from the crash.
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