Prigozhin led a failed mutiny against the Russian armed forces in June.
The crash comes on the same day that senior Russian general Sergei Surovikin was reportedly sacked as air force chief.
Gen Surovikin was known to have good relations with Prigozhin and had not been seen in public since the mutiny.
The aircraft is said to have come down near the village of Kuzhenkino in Tver region, about half-way between Moscow and St Petersburg.
Grey Zone said local residents heard two bangs before the crash and saw two vapour trails.
Tass news agency said the plane, an Embraer Legacy belonging to Prigozhin, caught fire on hitting the ground.
The aircraft had been in the air for less than half an hour, it added.
An investigation has been launched into the crash and emergency services are searching the scene.
Another news agency, Ria, said eight bodies had been recovered.
Grey Zone reported that a second business jet owned by Prigozhin landed safely in the Moscow region.
The 62-year-old mercenary boss founded Wagner in 2014, and it now has about 25,000 fighters.
The group has been active in Ukraine, Syria and west Africa, and has gained a reputation for brutality.
Prigozhin headed the mutiny on 23-24 June, moving his troops from Ukraine, seizing the southern Russian city of Rostov on Don, and threatening to march on Moscow.
The move came after months of tension with Russian military commanders over the Ukraine conflict.
The stand-off was settled by a deal which allowed Wagner troops to move to Belarus or join the Russian army.
Prigozhin himself agreed to relocate to Belarus but has apparently been able to move freely, making public appearances in Russia and releasing a video of him purportedly in Africa.
But several Russia watchers have described him as a “dead man walking” since the mutiny.
President Putin’s initial reaction to his challenge to Russia’s defence establishment was vitriolic, calling it a betrayal and a stab in the back in a video message on 24 June.
The deal did not mean he was safe.
“Revenge”, commented CIA director William Burns, “is a dish Putin prefers served cold” - or words to that effect.
None of this, of course, is proof that Prigozhin and his entourage were deliberately targeted.
But given the circumstances any claims that his demise, if confirmed, was an accident will see a lot of eyebrows raised.
US White House spokeswoman Adrienne Watson said “no-one should be surprised” if the reports of Prigozhin’s death were confirmed.
We have people defending “Vlad” and Russia as a “Christian” country. They are not.
The fact that they have “warlords” and mercenary armies in the first place. And this.
It may have been Putin’s doings but with this: “’Revenge’, commented CIA director William Burns, ‘is a dish Putin prefers served cold’ - or words to that effect,” my money is on a CIA operation.They have a long and sordid reputation for such.
“None of this, of course, is proof that Prigozhin and his entourage were deliberately targeted.“
I’d like to know who was moron enough to get on that plane with Prigozhin…