The twin-engine aircraft - heading to King Island - came in "low and fast" and hit the Direct Factory Outlet (DFO) in Essendon in the state of Victoria this morning.
State Premier Daniel Andrews confirmed the number of deaths and described it as the state's worst air accident in three decades.
The DFO was not open at the time and authorities do not believe staff members were killed in the incident. Police and paramedics rushed to the crash site, where firefighters doused the flames.
"But certainly if we look at the circumstances, we have been very lucky today, depending on the time of day and who was around."
Victoria police superintendent Mick Frewen said investigations centred on a "catastrophic engine failure".
Craig Lapsley, Emergency Management Commissioner, said witnesses had been treated for shock and trauma but not physical injuries.
Essendon airport close to the shopping area has been closed until further notice.
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