Polish President Andrzej Duda later said there were "many indications that it was an air defence missile that unfortunately fell on Polish territory," rather than an intentional Russian attack.
Associated Press later cited US officials saying the missile may have been an air defence projectile fired by Ukrainian forces at an incoming Russian missile.
US President Joe Biden also told allies that the explosion was caused by Ukrainian air defence but was ultimately sparked by the Russian missile barrage on Ukraine, according to two officials familiar with the matter. Ukraine said more than 100 missiles were fired into its territory on Tuesday.
Mr Biden delivered the assessment during a conversation with Nato and G7 allies in Indonesia, said the officials, who asked for anonymity to discuss sensitive matters.
There were concerns on Wednesday that the deaths could trigger an escalation in the conflict.
Here is what we know about the missile and what this means for the conflict.
Where did the missile land?
The missile hit a grain plant in Przewodow, Poland, about 6km from the Ukrainian border.
It came as Russia unleashed a wave of missiles targeting Ukrainian energy infrastructure, attacks that Kyiv said were the heaviest in nearly nine months of war.
Did Russia launch the missile?
Russia denied launching the missile, saying claims they were responsible were "a deliberate provocation aimed at escalating the situation".
According to US officials, initial findings suggested that the missile was fired by Ukrainian forces at an incoming Russian missile, the Associated Press reported.
US President Joe Biden said it was unlikely the missile had been fired from Russia, while France urged “utmost caution” in identifying who was behind the blast.
“It is unlikely … that it was fired from Russia,” Mr Biden said, citing the missile's trajectory. “I'm going to make sure we figure out exactly what happened.”
France said many countries in the region have similar weapons.
How have world leaders reacted?
UN Secretary General Antonio Guterres said it was "absolutely essential to avoid escalating the war in Ukraine".
Western leaders held an “emergency round-table” on Wednesday on the sidelines of the G20 summit in Indonesia, where they urged against jumping to any conclusions about the origins of the strike.
They issued a declaration on Wednesday saying they "deplore in the strongest terms" Russia's aggression against Ukraine. It said most members strongly condemned the war in Ukraine but added that there were other views within the G20 group.
President Recep Tayyip Erdogan of Nato member Turkey, said he respects Russia's denial and that he believes Moscow had "nothing to do with it".
"Russia saying this has nothing to do with them and Biden saying these missiles are not Russian-made show that this has nothing to do with Russia," Mr Erdogan said.
Polish officials in Warsaw said that their government was likely to request a Nato meeting under the treaty's Article 4 for consultations among the allies, and also raise the issue at a UN Security Council meeting on Wednesday.
Nato ambassadors are expected to meet later on Wednesday.
Mr Biden called Polish President Andrzej Duda and said that Washington has an "ironclad commitment to Nato" and will support Poland's investigation, the White House said.
Other western allies said they were monitoring the situation, and urgently assessing information.
Lithuanian President Gitanas Nauseda said on Twitter: "Every inch of #NATO territory must be defended!"
Latvian Deputy Prime Minister Artis Pabriks said the situation was unacceptable and could lead to Nato providing more anti-aircraft defences to Poland and Ukraine.
What could the incident mean for the Ukraine war?
The missile effectively extends the war in Ukraine into Nato territory.
The explosion came after Russian missiles hit cities across Ukraine on Tuesday, including Lviv, near the border with Poland.
Ukrainian Defence Minister Oleksiy Reznikov said Kyiv had warned of the danger Russian missiles posed to neighbouring countries and called for a no-fly zone to be imposed.
While Nato has so far avoided intervening directly in the war, instead supplying and training Ukrainian troops, the incident could change this.
Poland is protected by Nato's commitment to collective defence — enshrined in Article 5 of its founding treaty — but the alliance's response will probably be heavily influenced by whether the incident was accidental or intentional.
Mr Biden spoke to Nato chief Jens Stoltenberg about the blast in Poland, while ambassadors from the alliance were to hold an emergency meeting on Wednesday.
But even if the missile does not trigger a full Nato response, it could lead to members stepping up the provision of air defence equipment to Ukraine and even shifting Nato's air defence systems to ensure that any future rockets are shot down before hitting Ukraine's neighbours.
In their statements, Poland and Nato used language that suggested they were not treating the missile blast as an intentional Russian attack, at least for now. A Nato statement called it a “tragic incident”.
What are Nato's Article 4 and 5?
A consensus that Moscow is to blame could trigger Nato's Article 5.
Nato’s Article 5 states that an armed attack against one or more of its members in Europe or North America “shall be considered an attack against them all” and that force can be used in response.
However, officials in Warsaw are reportedly looking instead at whether to trigger Article 4 of Nato's charter.
Article 4 of the treaty allows members to bring any issue of concern, especially related to security, for discussion at the North Atlantic Council, the alliance’s political decision-making body. This would give members the chance to come together to discuss the next steps.
Could there be a military response from Nato?
Moscow's ambassador has been summoned to provide “immediate detailed explanations” and the military had been put on heightened alert after an emergency national security council meeting, Polish authorities said.
“There has been a decision to raise the state of readiness of some combat units and other uniformed services,” spokesman Piotr Muller said after the meeting in Warsaw. “Our services are on the ground at the moment working out what happened.”
UK Prime Minister Rishi Sunak, German Chancellor Olaf Scholz and French President Emmanuel Macron, all leaders of Nato member states, expressed solidarity with Poland.
What is happening in Ukraine?
Several reactors at two Ukrainian power plants automatically shut down as a result of Russian missile strikes on Tuesday, President Volodymyr Zelenskyy said. Millions of people were left without electricity, he added.
“As a result of the strikes, automation today disabled several nuclear units at two stations — these are calculated consequences, and the enemy knew exactly what he was doing,” Mr Zelenskyy said in his nightly video address.
Mr Biden said the leaders condemned “the latest series of Russian missile attacks”.
“The moment when the world came together at the G20 to urge de-escalation, Russia continues to escalate in Ukraine, while we’re meeting,” Mr Biden said. “There were scores and scores of missile attacks in western Ukraine.”