Champion in the downhill and leader in the overall and super-G standings, Vonn slid off the course midway through her run, and came to a stop without making contact with any perimeter barriers.
Vonn remained still before being seen to by course staff, who then carried the American down to the finish on a sled.
The extent of any injury sustained remains unknown, with fans expressing their sympathy on Twitter for Vonn, who was forced to miss the Winter Olympics in Sochi in 2014 with a knee injury.
After strong winds and heavy snowfall, the starting point of the race was lowered by organisers, while the time of the first skier was pushed back by three hours.
With the early competitors enjoying much the better of the conditions before heavy snow showers set in, Italy's Federica Brignone took advantage to secure her first World Cup super-G win.
Eighth down the hill, Brignone recorded a time of 57.33 seconds, defeating American Laurenne Ross, who was 10th out, by 0.13secs.
Austria's Tamara Tippler, who was next out after Ross, completed the podium, 0.37secs off the pace.
With Vonn crashing out, her overall standings rival Lara Gut - next down the hill - finished 16th, taking 15 points and closing the gap at the top of the leaderboard to eight.