Three of the dead were French citizens and one Swiss, reports say. The plane had been en route to Marseille.
It crashed after take-off from a local airfield. The cause is not known. Tires is about 20km (12 miles) from Lisbon.
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16:35
The light aircraft, believed to be carrying a pilot and three passengers, is said to have exploded in mid-air.
All four people on board are believed to have been killed.
The plane came down near the Lidl Supermarket in Tires near the coastal town of Cascais 20 miles west of Lisbon.
It is said to have landed on a lorry which was unloading in the supermarket car park.
At least one house in the area of the crash is reported to be on fire, along with several vehicles.
Around 50 firefighters are at the scene along with other emergency workers.
Video footage taken by onlookers showed huge plumes of black smoke rising into the air from the scene of the crash.
Portuguese president Marcelo Rebelo de Sousa has arrived at the scene.
There is still no word on whether anyone on the ground was hurt or injured.
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 pilot was initially described as French although subsequent reports pointed to all four victims being Swiss.
The alert was sounded at five minutes past midday.
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.
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