Fire officials say it was fully engulfed in flames by the time they arrived at the scene.
Investigators are still sifting through the wreckage at the scene in hopes of identifying the victim.
The plane, which is registered to a company in St. Augustine, Florida, took off from Smyrna, Tennessee, and crashed about two miles south of the Gary airport near the intersection of 7th Avenue and Clark Road.
Witnesses say the plane appeared to be having engine problems and simply dropped from the sky, exploding in flames in a wooded area on Gary's west side.
Frances Guyton Ward and her daughter Erica saw the plane go down. "We heard the airplane. It sounded like the engine was sputtering and then it just dropped out of the sky. And then we saw a big ball, a big flash of fire and then smoke, and that was it," Guyton-Ward told ABC 7.
The ill-fated aircraft is a Cirrus SR 22, a single-engine, four-seat plane. It exploded in a ball of flames, suggesting that running low on fuel was not an issue in the crash.
Louis Hutch, who lives nearby, ran to the scene and found the body of the victim thrown from the wreckage. "We couldn't get too close and then when we did ... around the perimeter that's when we found one of the bodies. We kind of backed off then," he said.
"There was, in fact, not a distress signal received. The Gary jet center did, in fact, expect the aircraft to land. The expected time was 11:19," said Mayor Karen Freeman-Wilson.
The crash site is roughly a long city block from the Lighthouse charter school with an enrollment of over 600. The children were released to their parents Wednesday afternoon.
Officials from the FAA and the NTSB are investigating.