The light aircraft, which was carrying four people, is said to have exploded in mid-air and come down near a Lidl supermarket in Tires, landing on a lorry that was unloading.
All four people on board are said to have died, alongside the lorry driver on the ground.
Three other people have been taken to hospital suffering from smoke inhilation, Portugese newspaper Publico reported.
Three of the people on board the plane were French and the other passenger was Swiss, the paper reported.
The lorry driver was Portugese.
Plane crashes into supermarket in Portugal
Mon, April 17, 2017
A plane has crashed into a branch of Lidl in the town of Cascais, 20 miles west of Lisbon
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Members of the public look on in horror
At least one house in the area of the crash caught fire as a result of the crash, along with several vehicles.
Around 50 firefighters are at the scene along with other emergency workers, and the fires are reported to have been brought under control.
Video footage taken by onlookers showed huge plumes of black smoke rising into the air from the scene of the crash.
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Portuguese president Marcelo Rebelo de Sousa has travelled to the town.
The cause of the crash is not yet known.
Five people have been confirmed dead
The plane, a Piper PA-31TR Cheyenne II registered in Switzerland, had just taken off from an aerodrome in Tires, close to the town of Cascais.
It is reported to have left Geneva three days ago before making a stop in the southern French port city of Marseille and continuing on to Tires.
The crash happened just after midday local time.
Witness Almerinda Ferreira, 67, told Publico. "I heard a big bang. The people were very afraid and began to flee.
"The staff said to stay calm, but no one listened. It was pandemonium."
The plane came down over a Lidl supermarket near Cascais
A witness told Portuguese TV the owner of a house which caught fire was able to run out of her property with her baby in her arms.
Another lady, known only as Alexandra, who was inside the Lidl supermarket, said: "Everything started shaking like an earthquake and people began to scream and run in all directions." The plane that came down was on its way to Marseilles in France.
A spokesman for Cascais Aerodrome said in a statement: "Cascais Aerodrome can confirm that at 11.05am local time, the flight of private operator Symbios Orthopedic, a P-31 light aircraft that had taken off from Cascais Aerodrome bound for Marseilles with three passengers and one crew member on board, suffered an accident outside of the aerodrome airspace.
"The aerodrome immediately activated its emergency plans and in this way activated an internal and external response to this accident." The current death toll of five is expected to be the final one, although it is understood three other people on the ground when the plane crashed have suffered minor injuries.
the plane came down near a Lidl supermarket near Cascais
The spot where the plane crashed is just 150 metres from a local school.
Cascais is a wealthy coastal town that attracts affluent vistors from all over the world.
It is located just 20 miles west of the Portugese capital Lisbon.