Sheriff Leo Dutton said that no one was injured in the incident, and that the police are not aware of any property damage caused by the explosion.
Police have searched all other schools in Helena and East Helena, which were immediately placed on lock-down. Law enforcement have not yet identified where the explosive device came from.
"What precautions have been taken so far is all of the kids in Rossiter school are out for the day, they were given a safe evacuation route over to the little red school house. We called in the FBI and ATF, our bomb squad is there and we'll be using a bomb detection dog to clear the area", Sheriff Leo Dutton told reporters.
FBI and ATF (Bureau of Alcohol, Tobacco, Firearms and Explosives) agents have promptly arrived at the scene.
Helena is the capital city of Montana, with about 30,000 people living in the foothills of the Rocky Mountains.