"There were 11 killed: the pilot and 10 skydivers, including one woman," Jean-Claude Nihoul, the mayor of Fernelmont where the accident happened, told AFP.
The woman, Maxime Prevot, was taking part in her first parachute jump for her birthday, said the mayor of Namur, the nearest major city.
The accident took place just before 4:00 pm (1400 GMT) some 75 kilometres (50 miles) southeast of the capital Brussels.
"The plane took off from Temploux aerodrome and crashed in a field around 10 minutes later," said Nihoul.
"The plane, partially burned up, could no longer be recognised," he added.
When firefighters arrived on the scene, the twin-engined plane was already ablaze and all the occupants dead, said Michel Doumont, head of the Namur fire service.
Several witnesses said they saw the plane's right wing fell off in mid-flight.
"I just saw a plane lose its right wing in mid-flight and crash. I heard a massive 'bang' ... I didn't see anyone escape with a parachute," one witness told local television channel RTL.
Another local witness described seeing the plane fly over him with "pieces falling off it".
"Then the plane's nose dropped and it crashed 200 metres further on," the witness added.
Benoit Pierson rushed to the plane when he saw it go down. "One of the passengers was still alive, smashed up, but alive," he told local television.
"Other passengers jumped at the last minute. They died in the field," he added.
King Philippe inspected the site of the wreckage in the early evening. He was due later to meet families of the victims.
Belgian Prime Minister Elio di Rupo said he "learned with sadness of the tragic plane accident near Namur".
He offered his "most sincere condolences to the families and relatives" of the victims.
The small plane came down around 250 metres (yards) from houses near the village of Marchovelette, 10 kilometres (six miles) from the southern city of Namur.
Nicolas Hormans, an instructor at the Temploux parachuting club, where the majority of the victims were from, said the people on board stood little chance of escape.
"If the plane was in a tailspin, it wouldn't have been possible to jump earlier. The passengers would have been in a centrifuge," he told RTL.
