The Beechcraft plane veered into the shopping centre, that had yet to open next, next to Essendon airport.
"It appears to be a very, very tragic accident that has occurred out there," state police minister Lisa Neville told reporters.
She could not provide any casualty figures but confirmed five people were on board the charter from Essendon, north of Melbourne, to King Island, 55 minutes to the south.
Live television footage showed burnout wreckage and major damage at the shopping centre and adjacent buildings.