The accident happened at an altitude of between 2,000 and 3,000 metres (6,500 and 10,000 feet) near the Vignemale, the highest peak on the French side of the mountain range bordering Spain.
The dead, who were all in their 40s, included the pilot, co-pilot and two mountain rescue specialists involved in a training exercise, local authorities said.
Eric Serfass, the prosecutor from the nearby town of Tarbes who announced an investigation into yesterday's crash, said that although weather at the time of the crash was good, flying at such altitudes was "extremely difficult".
In 2009, a helicopter carrying a pregnant woman in Corsica crashed shortly after she gave birth mid-air, killing the mother, her newborn baby, the doctor and two crew.