The transport plane, which was carrying three U.S. soldiers and three American crew members, was located southeast of Bamiyan in the heart of the Hindu Kush mountains, said Ghulam Mohammed, a senior police official in Bamiyan.
"They found pieces of the engine and the wheels scattered on top of Baba Mountain," which rises to 16,600 feet and was covered in fresh snow, Mohammed said.
He said several bodies were recovered and taken to the main U.S. military base at Bagram, north of the capital, Kabul, from where the plane departed Saturday.
Mohammed had no information on the identity of the bodies found. There was no suggestion that anyone survived.
The American military announced earlier Tuesday that the plane was missing and that search-and-rescue teams were struggling to reach the area where they suspected it went down.
A spokesman declined Tuesday evening to say whether the plane had crashed or whether any of its occupants were killed.
The CASA 112 transport plane was operated by Florida-based Presidential Airways and was contracted to the U.S. Air Force in Afghanistan, U.S. military spokesman Mark McCann said.
The fixed-wing plane is designed to fly in and out of the kind of short, rough air strips used to supply American forces deployed in remote areas of the country to search for Taliban and al Qaeda militants.
Accidents have accounted for most of the more than 100 deaths of U.S. service members since Operation Enduring Freedom began in the wake of the Sept. 11 attacks in the United States.
Many have involved helicopters, and the most recent fatality was that of an American airman fatally wounded Oct. 20 when his search-and-rescue chopper crashed near the Iranian border because of technical problems.
The last combat deaths were those of two U.S. soldiers killed by a roadside bomb Nov. 24 in Uruzgan province.