The service will investigate the incident, the latest of multiple military aircraft crashes this week.
"It's been a rough day", an Air Force spokesman said.
Last September at Nellis, a U.S. Air Force pilot died of injuries after a crash on the training range about 100 miles (160 kilometers) northwest of the base.
Maj. Stephen Del Bagno, Thunderbird 4/Slot Pilot, and Staff Sgt. Michael Meister, Thunderbird 4 Dedicated Crew Chief, await the signal to start their F-16 Fighting Falcon during a practice show at Nellis Air Force Base, Nev., Mar. 14, 2018.
He has logged more than 3,500 total flight hours in over 30 different aircraft, with 1,400 hours as an Air Force pilot.
It is the second plane crash at Nellis Air Force Base in a matter of months following a non-fatal crash in January.
According to a short biography provided by the Thunderbirds, Del Bagno was a fan of snowboarding and water sports and loved spending time with his family and friends in his spare time.
Spring snow storm blankets parts of Montana
Numerous accidents were reported early Monday on I-90 west of Missoula with vehicles also getting stuck on Evaro Hill. Expect about 3 to 4 inches in the New Brunswick area and 2 to 3 inches around Freehold and Trenton.
The accident happened at the Nevada Test and Training Range, near Las Vegas, Nevada.
It was Del Bagno's first season with the team.
The U.S. Air Force identified the pilot as Maj.
The crash Wednesday marked the third major crash by a Thunderbirds pilot since 2016.
In November, the Air Force removed the Thunderbirds commander Lt. Col. Jason Heard, citing unnecessary risk taking. The pilot in that case ejected.
This is the 2nd incident involving a Thunderbird plane in a year.
Another Marine jet crashed in Djibouti on Tuesday.
On Tuesday, a U.S. Marine Corps helicopter crashed during a training mission in Southern California.