It is understood there were two people on board the Red Arrows jet aircraft.
"We are aware of an incident today at RAF Valley involving a Hawk aircraft," a Ministry of Defence spokesman said.
"We are investigating the incident and it would be inappropriate to comment further at this stage."
North Wales Police confirmed they were in attendance and were called to the scene at around 1.50pm.
The world-famous aerobatic team performs stunts and daredevil displays, and flies the distinctive Hawk fast-jets.
Based at RAF Scampton in Lincolnshire, all Red Arrows pilots have flown operationally in frontline aircraft before joining the display team.