The Italian government has opened an inquiry to determine the cause of the accident, which happened when pilot Gabriele Orlandi carried out a loop manoeuvre.
He was taking part in an airshow in Terracina, midway between Rome and Naples, and was flying a Eurofighter jet plane. After performing a loop-the-loop, the plane plunged into the water, sending out a cloud of smoke, water, and debris from the aircraft.
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A coastguard vessel recovered Orlandi's body shortly after the crash, the Air Force confirmed in a statement.
"It was a terrible scene, we were frightened," one witness told the Ansa news agency. "There was a violent impact and we didn't see any seat being ejected."
Orlandi's performance had been the penultimate of the show, and the final performance by the Italian Frecce Tricolori, the air force's aerobatic team, was cancelled out of respect.
Thousands of people had been watching the show, including the pilot's friends and family and his girlfriend, who was treated in hospital for shock.
Italian Defence Minister Roberta Pinotto described the death as "a painful loss for his loved ones and for the whole Defence department".
In 2015, a pilot was killed after two planes collided at an airshow in Abruzzo, central Italy. The other pilot involved in that crash was able to land a few metres from the shore before being rescued by bathers.