Mounties say the collision happened Sunday night east of Fort McMurray.
Police say one of the planes landed safely and the lone pilot was uninjured.
A medical helicopter searched for the other plane and found that it had crashed east of the city.
Police got to the crash site and confirmed the two people in the aircraft were dead.
McMurray Aviation in Fort McMurray said in a tweet that one of its training aircraft was involved, but wouldn't give any other information
John Cottreau, spokesman with the Transportation Safety Board of Canada, said the planes involved were a Cessna 172 and a Cessna 185.
He said it was the Cessna 172 that crashed.
"Both planes are typically used as pleasure craft," Cottreau said from Hull, Que. "I know that a lot of pilots have trained on both those aircraft."
TSB investigators were on their way to the crash scene and Cottreau said they should be there by Monday afternoon.
"They'll be looking to document that site, they'll also be looking to interview any potential witnesses as well as the pilot of the 185."
While rare, mid-air collisions do happen.
In June 2013, four people and a dog were killed when a glider and a Cessna 150 collided in mid-air near Pemberton, B.C., sending debris raining down into a campground in Nairn Falls Provincial Park. There were no reports of injuries on the ground.
A year before that in Saskatchewan, four adults and an 11-year-old boy were killed when a small plane heading to a northern fishing camp collided with a plane carrying three people from Alberta near the community of St. Brieux.
A report into that crash concluded the converging position of the two planes would have made it difficult for either to see the oncoming aircraft until it was too late.
Three people were killed in August 2006 when two small Cessnas collided near Caledon, Ont. One of the planes in that crash was being flown by an instructor and student.
Note to readers: This is a corrected story. A previous version said the crash happened Monday.
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