A plane has crashed in the central western region of Australia's eastern state of New South Wales, killing all four people aboard.

Police say the twin-engine Piper-Navaho exploded when it hit the ground on a rural property just east of the city of Bathurst.

Local detectives and forensic investigators are still at the crash scene.

They will be joined by police from Disaster Victim Identification and investigators from the Air Transport Safety Bureau (ATSB).