The plane vanished on Thursday near the southern city of Stolac.
Government officials in the Macedonian capital, Skopje, said the plane had crashed. Irish Prime Minister Bertie Ahern said the president was dead.
Mr Trajkovski was on his way to an investment conference in Mostar when the crash happened.
A spokesman for US peacekeepers in Bosnia said the plane lost contact with air-traffic controllers near the border between Bosnia and Montenegro.
Stolac is in a mountainous region of southern Bosnia, east of the Croatian port of Dubrovnik.
The plane took off from the Macedonian capital, Skopje, earlier on Thursday.
Mr Ahern's comments came after he had been due to meet the Macedonian prime minister in Dublin. The meeting was cancelled after news of the crash emerged.
