The debris came down on farmland near Inca, in the north of the popular tourist island off the east coast.
The German couple and their two children were in the helicopter, which belonged to Rotorflug, a German firm.
The helicopter pilot was Italian. A Spanish man, from Valencia, was in the ultralight plane with a friend.
Spain’s Prime Minister Pedro Sánchez expressed “solidarity and sympathies” with the victims.
The collision happened in the air over the Inca Hospital at about 13:36 (12:36 GMT) on Sunday, local newspaper Diario De Mallorca reports.
Visibility was good at the time, and the cause is not clear. Both aircraft caught fire in the collision, reports say.
The ultralight is a type of small aircraft with a maximum of two seats.
The helicopter involved was a Bell 206 L3 LongRanger, part of a fleet operated by Rotorflug, which provides sightseeing flights for tourists.
A company statement on Sunday said “the cause is still totally unclear”.
It said Germany’s aviation authority and air accident investigators were now examining the case, alongside the Majorcan authorities.
“All the staff at Rotorflug are deeply saddened and mourn the deceased,” it said.
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