The 6-year-old mare, Jitterbug, had her head down while bucking at the Phillipsburg Rodeo on Friday and went straight into a fence.
A veterinarian at the arena says the horse died instantly and did not suffer.
Veterinarian John Boyington says he has worked at the rodeo for 23 years and it was the first time he had seen a horse die in that manner.
An owner of the Elk City, Okla., company that owned the horse says Jitterbug was a valuable asset, and her loss was like losing a star freshman player.
The horse is being buried in Kansas.