A pilot and five passengers were on board the plane when it hit the water just after 3 p.m. Sunday local time (11 p.m. Saturday ET), the New South Wales Police Force said.
All six bodies have been recovered from the crash site at Jerusalem Bay, near the town of Cowan, north of Sydney, police said. Police divers were at the scene Sunday night.
Officials have not released the identities of the victims.
Police Acting Superintendent Michael Gorman told CNN affiliate Seven Network that the aircraft had been flying west over the Hawkesbury River when it crashed.
"The plane has hit the water and it has subsequently sunk," Gorman said. "It's sitting in approximately 13 meters (about 42 feet) of water."
The Australian Transport Safety Bureau has launched an investigation into the cause of the crash and police said a report would be prepared for the Coroner.