The CH-53E Super Stallion chopper was with the 3rd Marine Aircraft Wing.
It crashed near Plaster City - about 20 miles north of the U.S. Mexico border - around 2:35 p.m. while on a routine training mission, military officials said.
The names of the four crew members have not been released.
The helicopter is designed to lift heavy objects, such as military vehicles and cargo from ship to shore and to high terrain, according to manufacturer Lockheed Martin. It is considered one of the largest helicopters in the world.