Immigration official Mohamed Muhummed says the crash of the single-engine plane occurred near Djibouti city's airport during an air force training session.
The cause of the crash remains unknown. Muhummed says investigations are underway.
The tiny Horn of Africa nation also is home to a number of foreign military bases. They include Camp Lemonnier, the only permanent U.S. Military base in Africa, and China's first overseas military base.
France, Britain, Japan and other nations also maintain a military presence in the small but strategically located nation.