Two other bodies were found at the crash site in the sea near Paraty, some 250km (160 miles) south of Rio de Janeiro.
Teori Zavascki, 68, was overseeing a massive corruption investigation at the state oil company, Petrobras.
The scandal has rocked Brazil. The political crisis it triggered led to the impeachment of President Dilma Rousseff in September.
Dozens of politicians have been arrested - including former President Luiz Inacio Lula da Silva - as part of the inquiry, known as Operation Car Wash, over the past two years.
Brazil's continuing corruption problem
What has gone wrong in Brazil?
Prosecutors say they were paid vast amounts in exchange for granting lucrative contracts to private companies that had overcharged Petrobras.
President Michel Temer has declared three days of national mourning following Mr Zavascki's death.
In Brazil's tumultuous times, where political divisions are running deep in virtually every institution, it is hard to find truly independent voices.
But Judge Teori Zavascki was arguably one such voice. The Petrobras investigation gained much credibility when he was appointed to oversee the case in the Supreme Court.
A few days from now, the court will start analysing the plea bargain deals struck with 77 executives from Odebrecht, a construction company that admitted corrupt deals with Petrobras.
This has the potential to be the most explosive moment in the long-running Petrobras case, as new revelations are expected to be made against top politicians.
Without Judge Zavascki at the helm of this process, Brazil's Supreme Court will have an extra challenge in convincing the public it can resist pressure from the powerful.
A prominent Brazilian Supreme Court judge has died in a plane crash.