FAA spokeswoman Elizabeth Isham Cory said there were no survivors.
Kentucky State Police Trooper Walt Meachum said the airplane crashed into the side of Little Black Mountain in the Cumberland range.
"If they had gone 20 to 30 yards higher, they would have cleared the top," said Meachum, who was at the scene in southeastern Kentucky Wednesday night.
Ground crews had been searching a heavily wooded area near where the plane was last spotted on radar Sunday night. Cory said investigators from the FAA and National Transportation Safety Board were en route to the scene.
Authorities said the Piper Saratoga took off from Darlington, S.C., on Sunday, headed for Bloomington, Ill., with a pilot and five others on board. All had ties to the central Illinois town of Carlock and were returning from a NASCAR race in Darlington.
On the plane were Don and Amy Maurer of Carlock; Amy Maurer's brother, Brad Webb, and his girlfriend, Erica Edgington, also of Carloc; and Curt and Linda Piercy of Normal, another small town in the Bloomington area.
Amy Maurer had given her husband the NASCAR tickets as a birthday present.
The search began Monday afternoon when the Federal Aviation Administration issued a missing plane report on the plane owned by Crosswinds Flying Club in Bloomington. Piercy was a club member.
Civil Air Patrol crews had flown over the plane's entire projected flight path in Kentucky and parts of Virginia, Tennessee, Indiana and Illinois.
By Roger Alford