The single-engine, two-seat plane, identified by media as a Robin DR 380, hit a fir tree and ended up on a cross-country ski trail north of the village of Rondefontaine in the Doubs region, near the Swiss border, television station France 3 reported.
The plane was owned by Jean-Marc Chollet, 62, a Green party member of the Vaud cantonal parliament.
The parliament confirmed that Chollet, a trained pilot, was on board the aircraft.
"It is with sadness and consternation that we have become aware of this tragic passing," Jacques Nicolet, a member of the Swiss People's Party (UDC) who heads the Vaud parliament, told Le Matin.
"One of our 150 deputies has suddenly died, it's the parliament all together that is in mourning," Nicolet said.
"We offer our most sincere condolences to the family."
A man and a woman died in the crash, a member of the local Morteau gendarmerie earlier told the Lausanne-based 24heures newspaper.
He confirmed that the plane belonged to the Vaud MP.
The wreckage was discovered by gendarmes at around 5pm.
The prefecture of Jura in France was informed of the disappearance of the plane at around 3.15pm after taking off from the Blécherette airfield at Lausanne en route for Dole, a town in the Franche-Comté region, southeast of Dijon.