The helicopter was one of two that left the Melbourne CBD on Thursday morning, flying in convoy over Mt Disappointment when it disappeared about 9.30am.
Police Air Wing found the wreckage in the vicinity of Blair's Hut about 11.45am, police said in a statement on Thursday afternoon.
It is believed the pilot and four passengers were on board.
Five Country Fire Authority vehicles, police and paramedics, including the air ambulance, are on scene as authorities mount a ground search before nightfall.
The Australian Transport Safety Bureau is also investigating and sending a team to the site from its Canberra and Melbourne offices with expertise in helicopter operations and maintenance, and aerospace engineering.
The experts will inspect the wreckage and site surrounds before sending any relevant components to Canberra for further examination.
The ATSB will also analyse any recorded data and conduct interviews with those who have knowledge of the flight.
A preliminary report from the watchdog is expected in about six to eight weeks.
The operator of the helicopters, Microflite, said the company would cooperate with investigations into the cause of the crash.
"I extend my deepest condolences to all affected by this incident who we are supporting through this very difficult time," he told Nine News in a prepared statement.
"The safety and wellbeing of all of our passengers and people is our highest priority and we have very stringent safety protocols in place."
The second helicopter, also believed to carrying four passengers and a pilot, landed at Moorabbin Airport in Melbourne's southeast about 2pm.
Mt Disappointment was the site of a major search operation in 2020 for autistic Victorian teenager William Callaghan, who was found alive after spending two nights missing in the bush.
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