Amateur video that has gone viral on the internet showed one helicopter falling into a wooded part of Kula Lumpur, while the other managed to land safely in a school field.
The transport ministry said both helicopters had taken off Subang Airport for a regular training session.
"Tragically... two crew members had perished in the crash," Transport Minister Wee Ka Siong said in a statement.
He said an investigation had been launched.
Helicopter flying as a hobby is gaining popularity among affluent Malaysians.