The body of one child was recovered and "it is not hopeful" there are any survivors because of the nature of the crash and explosion, said Sheriff Paul Babeu.
Ten deputies spent the night on the mountain to keep it secure. They and dozens of volunteers were to start searching the area at first light, he said, adding that hikers and curiosity seekers should stay away. Video from news helicopters Thursday morning showed the crash site in front of a blackened cliff.
Some immediate family members are out of the country, so the names of those involved can't yet be released, Babeu said.
KPNX-TV reported the father of the three children, who are ages 5 to 9, lives in Safford. Their mother lives in Mesa.
"Our hearts go out to her at this time," Babeu said.
The aircraft slammed into an area of rugged peaks and outcroppings in the Superstition Mountains, 40 miles east of downtown Phoenix, at about 6:30 p.m. MST Wednesday, authorities said.
Callers reported hearing an explosion near a peak known as the Flat Iron, close to Lost Dutchman State Park, Sheriff's spokeswoman Angelique Graham said.
Witnesses reported a fireball and an explosion.
"I looked up and saw this fireball and it rose up," Dave Dibble told KPHO-TV. "All of a sudden, boom."
Sheriff's spokesman Elias Johnson said the body of one child was recovered late Wednesday night from the crash scene.
Besides the pilot and three children, a mechanic and another adult were also on board, Babeu said.
Rescue personnel used infrared devices to search for bodies but had not been able to detect any sign of movement, according to Johnson.
Rescue crews flown in by helicopter to reach the crash site reported finding two debris fields on fire, suggesting that the plane broke apart on impact.
"The fuselage is stuck down into some of the crevices of this rough terrain," Babeu said late Wednesday. "This is not a flat area, this is jagged peaks, almost like a cliff-type rugged terrain."
Video after the crash showed several fires burning on the mountainside, where heavy brush is common. Flames could still be seen from the suburban communities of Mesa and Apache Junction hours later.
The region is filled with steep canyons, soaring rocky outcroppings and cactus. Treasure hunters who frequent the area have been looking for the legendary Lost Dutchman mine for more than a century.
Some witnesses told Phoenix-area television stations they heard a plane trying to rev its engines to climb higher before apparently hitting the mountains. The elevation is about 5,000 feet at the Superstition Mountains' highest point.
Calls to Falcon Field, which mostly serves small, private planes, weren't immediately returned Wednesday night.
Federal Aviation Administration spokesman Allen Kenitzer said the Rockwell AC-69 was registered to Ponderosa Aviation Inc. in Safford. A man who answered the phone Wednesday night at Ponderosa Aviation declined comment.
Kenitzer said the FAA and National Transportation Safety Board would be investigating the cause of the crash.