The "King Air" twin-engine turbo prop had just taken off from a small airport in Chicago and was headed to South Bend, Indiana.
Divers located the plane under water and got inside - but found no one there.
No adverse weather conditions were reported when the aircraft took off.
Divers were to resume the search in 22 feet of water about 100 yards offshore Friday.
No cause was immediately determined to explain why the plane plunged into the lake at about 8:30 p.m. after leaving Meigs Field, a single-runway airport near Chicago's Loop. It was unclear if the craft became airborne.
The identities of those on board were not immediately known.
Jacquie Levy, a private pilot who was at the airfield when the plane crashed, said she ran to the end of the runway after the mishap.
"We thought it was a boat," Levy said. "All of a sudden, I saw these bubbles coming up, and then the tail started sinking, and I knew it wasn't."
Diver Ken Diana said rescuers working in poor visibility were able to pry open the plane's doors with great difficulty.
"The plane was broken up pretty good," he said. "There was a lot of jagged parts. It's a very hard search when the plane's tore up like that."