The tornado touched down around 8:10 p.m. Wednesday at the iconic race track, the National Weather Service said.
No races were taking place when the tornado hit, but there were workers at the race track.
At least five stables were damaged, Churchill Downs spokesman Darren Rogers said.
Track officials are assessing the damage and trying to ensure that all the horses are in good condition, Kentucky Derby president Kevin Flanery said.
The Kentucky Derby takes place on the first Saturday in May and is the first jewel of the Triple Crown.