His death has been confirmed by the prime minister of Ireland, Bertie Ahern, after a meeting with Macedonian officials.
Ahern was speaking shortly after he had been due to meet Macedonia's prime minister in Dublin. He said the meeting had been cancelled "because of tragic news that President Boris Trajkovski had died in a plane crash over Bosnia".
Officials in Bosnia said the president's official executive jet appeared to have smashed into a mountain in fog.
"We received information that the aircraft crashed 40km (25 miles) outside Mostar, near the town of Stolac," a Macedonian official told AFP news agency.
"Rescue teams are on their way to the crash site."
He said eight or nine people were on board the small plane, including at least two of Trajkovski's close advisers.
Trajkovski, 48, had been on his way to attend an investment conference in Mostar when his nine-seater plane disappeared from radar screens.
He was elected president of the former Yugoslav republic of Macedonia in 1999.
Officials said Prime Minister Branko Crvenkovski had cut short a trip to Dublin and was on his way back to Skopje.