The plane went down in Perry County, Ark., killing the pilot and another individual not affiliated with the university, the school said in a news release. There were no survivors.
Budke, 50, had opened his seventh season as the Cowgirls' coach on Sunday with a 96-60 win over Rice in Stillwater.
"The Oklahoma State family is devastated by this tragedy," OSU president Burns Hargis said Friday in the statement. "Our hearts and prayers go out to the families of Kurt Budke, Miranda Serna and the other victims.
The school has canceled the team's games scheduled for Saturday and Sunday against Grambling State and Texas-Arlington. The school's second-ranked college football team plays tonight at Iowa State.
Budke, 50, had opened his seventh season as the Cowgirls' coach on Sunday with a win over Rice in Stillwater.
Associate head coach Jim Littell will take over as interim head coach, school VP for athletics Mike Holder said.
"We are shocked by this terrible loss," Holder said in the news release. "Kurt Budke was an incredibly positive influence on his players and was a tremendous coach. He quickly turned our program around and put Cowgirl basketball on the map."
On Jan. 27, 2001, a plane that took off near Boulder, Colo., after a men's game went down east of Denver, killing two players, four team officials, a play-by-play announcer, a radio engineer and two pilots.
An NTSB report cited a power loss aboard the plane and said the pilot suffered disorientation while flying the plane manually with still-available instruments.
On Thursday night, the single-engine plane Budke and Serna were riding in for a recruiting trip crashed near a wildlife management area in central Arkansas near Perryville, about 45 miles west of Little Rock.
The Winona Wildlife Management Area is in steep terrain in the eastern Ouachita Mountains, but a cause of the crash was not announced.