The cause of the accident, which took place on Friday near the town of Nardaran 40km west of Baku, was being investigated, an Interior Ministry official, who gave his name only as Colonel Akhundov, told AFP.
The plane was on its way to Aktau, across the Caspian Sea in Kazakhstan, when it went down with 18 passengers and five crew, a source in the state air company AZAL, which operated the flight, said.
An airport official said the passenger list included a Briton, an Australian and a Turk. Valida Aslanova, a dispatcher at the international airport in Baku from which the plane took off on Friday night, said the passenger list also included one
Georgian and four citizens of Kazakhstan.
The plane was identified as an An-140, a twin-engine turboprop.
A police duty officer in the Sabunchi region north of Baku, said the plane's wreckage was found along the Caspian Sea shore.
There was no immediate word on the cause of the crash. However, local television stations reported the wreckage was spread over a space of about 2km (one mile), a pattern that could indicate an explosion.
Rustam Usubov, the first deputy prosecutor, said: "More information about the accident will be given after the black box is found."
Both Baku and Aktau are centres of the thriving Caspian Sea oil industry, which has attracted substantial foreign investment.