"I just caught a lot of air off this jump between the turns and I landed and hit another bump and just went in the fences in a little bit," Vonn said. "But I'm fine."
Vonn added that her right arm the same one she broke in a training crash in Copper Mountain, Colorado, in November "might be a little sore tomorrow."
A downhill race is scheduled for Saturday, followed by a super-G on Sunday.
Vonn holds the resort record of 11 wins in Cortina.
Italian veteran Elena Fanchini fell in the same spot, also without serious consequences.
Vonn was only 0.11 seconds behind then-leader Ilka Stuhec at the first interval, right before she went down as the course went from bright sunshine to shade.
"That's not what makes it tricky," Vonn said of the change of light. "It's there's a bit of a lip there and some people are catching a lot of air, some people are catching no air. I got like 20-25 meters (yards) and I just didn't have enough time to land it and had to make the switch right away and there just wasn't enough time before I hit the fence."
Vonn discussed the terrain with International Ski Federation race director Jean-Philippe Vulliet.
"Tomorrow with race speeds I'm going to fly even farther, so I think they should just clean that up a little bit it should be perfect for the race," the four-time overall World Cup champion said.
Verena Stuffer of Italy led the training session, 0.05 ahead of defending overall champion Lara Gut and 0.34 in front of Sofia Goggia.
Stuhec, who leads the downhill standings with three wins this season, was fourth.
Julia Mancuso, another American standout who is returning from hip surgery, struggled in 47th position, nearly 4 1/2 seconds behind Stuffer.
"It's hard to get back in the middle of the season," Mancuso said, adding that she's still regaining strength in her right hip. "I still have a long way to go before I'm 100 percent strong and ready to compete for the top step of the podium. But you have to start somewhere."
Mancuso has claimed one win and six second-place results in Cortina over her career. But she has not raced since March 2015.
"I think I'm ready for the super-G," she said. "I'm going to talk to my coaches about (the downhill). The high speed is really demanding. I don't want to compete until I'm actually ready to compete and be in there."
For the U.S. team, this is the final weekend of qualifying for next month's world championships in St. Moritz, Switzerland.
Unless the coaches select her based merely on experience she has won nine medals at the Olympics and worlds Mancuso needs a solid result this weekend to make the team.
"I hope that I can get a chance to improve and show that I'm ready to fight and be competitive with a little more training," Mancuso said.
Vonn, meanwhile, is aiming to win after claiming a downhill in Garmisch-Partenkirchen, Germany, last weekend in just her second race back.
"It's been a while since I crashed in a downhill training run but I'm glad that it's just training," Vonn said. "I've had so much success on this hill I'm not really worried about not having a training run today. I know this hill, I know what to do and I have confidence now. I just need to do some therapy, reset and be ready for tomorrow."