Sixteen of the 20 people infected, all children, attended the annual event in Denver, according to the doctor leading the investigation.
Dr. Chris Urbina, director of Denver Public Health, said that, in all, 19 children whose median age is 4 years old were infected.
He said that the one adult infected is 66 years old and that the youngest child is 17 months old.
"We are trying to figure out the source — whether food, water or animals," Urbina said.
Urbina said that this strain of E. coli, called 0157 H7, is fatal in about one in 50 cases. It can infect blood and kidneys and cause kidney failure.
Urbina said the illness can be spread through contact. Particularly worrisome is that children who may have contacted this particular bacteria might have returned to day-care centers or schools and spread it, Urbina said.
He said among the symptoms are abdominal pain, bloody diarrhea, low-grade fever and vomiting. He said anyone with those symptoms should see a doctor immediately.
Urbina said those who contracted this E. coli strain live up and down the Front Range and include residents of Denver, Jefferson, Adams, Arapahoe and Broomfield counties.
Urbina said he is coordinating the investigation with the Colorado health department and local health departments.
He said the National Western Stock Show is fully cooperating with the investigation.
Pat Grant, president and chief executive of the stock show, said Thursday that "we are working proactively with the state to try to determine the origin of the E. coli outbreak."
Grant said that at this point, there is not conclusive evidence that the outbreak is linked to the stock show.
He said it will be later this week or early next week before the results of tests are known.
"To my knowledge, in our 102-year history, we never had a prior instance of E. coli," Grant said.
Grant said the stock show has vigorously sought to take precautions to prevent E. coli outbreaks stemming from the interaction of people and animals at the stock show.
There are signs, he said, that ask people to wash their hands thoroughly, and there are handwashing stations near the petting farm at the show.
"The National Western is about people, animals and children," Grant said. "We want to be as open and transparent as we can be."