An air search located the plane's wreckage in a remote mountainous area in the municipality of Ocampo on Monday, the Coahuila state government said in a statement.
"There were no survivors seen," the statement said.
Personnel from the public safety department and prosecutor's office were making their way to the site. The cause of the crash was under investigation.
The jet left Las Vegas on Sunday afternoon and had been expected that evening in the northern Mexican city of Monterrey, but it never arrived, prompting a search. Flight controllers lost contact with the plane over Coahuila.
Officials did not release the identities of those aboard.
Local media reported that the passengers were returning from a weekend trip that included seeing the Saul "Canelo" Alvarez fight on the Las Vegas Strip.
Mexico's civil aviation authority said it and other agencies had begun recovering bodies and what remained of the plane Monday.
The plane was registered to Utah-based TVPX, listed as an insurance, customs and trust company. The company declined to comment on who was operating the plane.