The 33-year-old Vonn has won 18 World Cup races at the Alberta resort, often nicknamed "Lake Lindsey" because of her prowess, but she caught an edge in the Claire's Corner section while leading and careered into safety netting.
There was a lengthy delay as officials attended to her before Vonn was able to ski slowly down to the finish.
Afterwards she tweeted
: "Well that hurt... had a nice lead the whole way down but caught my inside ski. That's ski racing though! I'll be sore tomorrow but will rest up tonight and barring anything major I will be racing. Can't keep me down."
Austrian Cornelia Huetter won the race in one minute 48.53 seconds with Tina Weirather of Liechtenstein second and slalom specialist Shiffrin third, three tenths of a second behind.
Vonn, the 2010 Olympic downhill champion, is trying to make history this season as she chases Ingemar Stenmark's all-time record of 86 World Cup wins. She already holds the women's record with 77.
The American has won 14 downhills and four super-G races at Lake Louise and will race again in Saturday's second downhill. She will also compete in a super-G Sunday.
Vonn was mirroring to some extent the return to full fitness this week of former boyfriend Tiger Woods
after starting last season late following a broken arm and nerve damage in her hand, which hampered her remaining races.
In her first race this season, a giant slalom in Soelden, Austria, Vonn didn't qualify for the second run.
For Huetter it was her first downhill victory in her first race back since injuring a knee in a training crash last December.
"It's unbelievable," Huetter said. "It's the best comeback I've ever dreamed about."
The 22-year-old Shiffrin won Olympic slalom gold in Sochi in 2014 and clinched the last three World Championships in the technical discipline. Of her 32 World Cup wins, 26 have come in slalom.
"I'm still not sure what my expectations are in downhill and today was an amazing day," said Shiffrin, the World Cup overall champion.
"I've definitely made a lot of progress in my downhill. Super-G comes a little bit more naturally because there's a little bit more turning. Downhill, I'm always surprised at how much time there is to make the turns. That's something I've worked on a lot, being a little more patient."
The men's circuit was in Beaver Creek, Colorado, where Austrian Vincent Kriechmayr clinched his first ever World Cup win with victory in a super-G on the Birds of Prey course.
Norway's Kjetil Jansrud, who won the season-opening super-G in Lake Louise last week, was second with Hannes Reichelt third.
Aksel Lund Svindal, the 2010 Olympic super-G champion, tied for sixth with Olympic downhill champion Matthias Mayer as he eases back into competition following knee surgery last year.
The men will race a downhill Saturday and giant slalom Sunday.