Police were advised of the aircraft having engine problems shortly before 4 p.m. on Tuesday before radio contact was lost.
The plane was reportedly about 20 kilometres south of Sudbury and 18 kilometres west of Key River.
A helicopter and a plane were sent from the Joint Rescue Co-ordination Centre at CFB Trenton to assist in the search.
The search will continue through the night, if necessary, a CFB Trenton spokesman said.
The Transportation Safety Board has been notified and will be assisting with the investigation.