The Comp Air 8 plane went down in the town of Jamijarvi in western Finland.
There were 11 people on board. Three of them, including the pilot, jumped to safety before the plane crashed, police said.
The survivors have been hospitalised but their lives are not in danger. All the skydivers were residents of the area, police said.
Witnesses said the plane appeared to run into engine trouble and fell rapidly.
The Jamijarvi airport is a popular spot with amateur skydivers.