Residents of one town said they found bits of metal strewn everywhere.
A dentist said a metal bracket about a foot long crashed through his office roof.
Nasa has warned that if any debris is found, no one should touch it as it's highly toxic.
The loss of Columbia comes almost exactly 17 years after the shuttle Challenger blew up shortly after take-off in 1986, killing all seven crew members on board.
First Israeli astronaut
Columbia was transporting the first Israeli astronaut and six other crew members back to Earth after a 16-day scientific mission.
It disappeared from Nasa's screens at 2.16pm as it was passing over Dallas.
According to Nasa, the shuttle was about 200,000 feet up and travelling at 12,500 mph when contact was lost.
Officials in Washington say there's no reason to believe that terrorism is to blame.
Experts have suggested it was probably a serious mechancial problem that caused the break-up.
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