No one on the ground was injured in the accident, which occurred at about 10:30 a.m. local time some 15 miles (24 km) west of Deer Valley Airport.
"We arrived on the scene and found four people deceased," said Captain Larry Nunez, a Phoenix Fire Department spokesman.
Nunez said one of the planes burst into flames.
Phoenix police identified the aircraft as a Piper Archer III from the TransPac Aviation Academy, and a Cessna from the Westwind School of Aeronautics, both located in the metro Phoenix area.
The identities of the two men aboard the Piper have been withheld pending notification of their families, police said. The two occupants of the Cessna have yet to be identified.
A pilot who witnessed the collision reported the accident to authorities, said Ian Gregor, a Federal Aviation Administration spokesman. An investigation by the National Transportation Safety Board and the FAA is under way, he said.