There were no immediate reports of injuries from the accident that took place at 10:09am local time at an elementary school near the Futenma marine airbase.
The US military said it was taking the incident "extremely seriously" and was opening an investigation.
"This is a regrettable incident and we apologise for any anxiety it has caused the community," the military added in a statement, urging local residents to stay clear from where the object landed "for safety purposes".
Such accidents have sparked opposition to the US bases on the strategic island, which would be a launchpad for any American military activity in Asia.
"This kind of incident causes worries among not only people at the school but all the people in Okinawa and should never happen," said chief Japanese government spokesman Yoshihide Suga.
The Futenma airbase is already a major source of mistrust between Japan's central government and Okinawa over a wider US military relocation programme signed between Tokyo and Washington in 1996.
A local official in the city of Ginowan in Okinawa told AFP that officials were trying to confirm a report that a school child was somehow lightly injured due to the incident.
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