The private jet, which was arriving from Italy,crashed during an attempt to land at Blackbushe Airport in Yateley.
Its pilot and all three passengers were killed but no one on the ground was injured, Hampshire Constabulary said.
An eyewitness said the Phenom 300 jet exploded on impact at the British Car Auctions site, which is based at the airfield.
In a statement, Blackbushe Airport said the jet crashed near the end of the runway while attempting to make a landing.
Barry Wright was at the warehouse when the crash happened. He said the plane "went up in a ball of flames in about 60 seconds".
Acting chief inspector Olga Venner, of Hampshire police, said: "We can confirm that there were four people on board, including the pilot. Sadly, there were no survivors. No one on the ground has been injured.