No one was injured during the test at SpaceX's facility in McGregor, Texas, and the vehicle stayed within its designated test area, according to a statement the company posted on Twitter.
"Rockets are tricky," SpaceX CEO Elon Musk said in a separate Twitter message.
The flight was part of SpaceX's effort to develop rocket stages that launch and land vertically, enabling them to be reused and thus lower launch costs.
SpaceX said the lost Falcon 9 Reusable Development 1 vehicle, or F9R, used three rocket engines and was flying a test that was "particularly complex, pushing the limits of the vehicle further than any previous test."
"With research and development projects, detecting vehicle anomalies during the testing is the purpose of the program," the statement said. "As is our practice, the company will be reviewing the flight record details to learn more about the performance of the vehicle prior to our next test."
Watch video of the explosion:
A SpaceX rocket exploded Friday during a test flight in McGregor, Texas, after an anomaly was detected in the vehicle, the company said. Video courtesy Amanda Johnson
SpaceX said it would provide another update once the flight data was analyzed.
The company did not say if the test failure would impact plans to launch a Falcon 9 rocket and commercial communications satellite from Cape Canaveral Air Force Station next week.
The Falcon 9 rocket being readied for launch today successfully fired its main engines in a standard pre-launch test at Launch Complex 40.
The launch was scheduled for 12:50 a.m. Tuesday, but according to at least one report will be moved to the same time on Wednesday, for reasons unrelated to the Texas incident.
SpaceX has completed multiple successful vertical takeoff and landing tests in Texas of a 10-story rocket stage it initially called Grasshopper, flying as high as a half-mile up as of last October.
After launches for NASA and commercial customers, the company has also twice flown Falcon 9 boosters to soft landings in the Atlantic Ocean in attempts to recover them, but the stages broke apart in the water.
The company has launched 11 Falcon 9 missions without a failure since the rocket's debut in 2010, including one mission that reached its intended orbit after one of the nine main engines was lost during ascent.
The Falcon 9 rocket and Dragon spacecraft are contenders to launch astronauts from Florida to the International Space Station by 2017, contracts NASA plans to award soon.