The asteroid, called 24 Themis, appears to be covered with a thin layer of frost. The researchers also found evidence of molecules containing carbon.
This is the first time that water or organic compounds has been found on asteroids.
The astronomers used telescopes at NASA's Infrared Telescope Facility on Hawaii's Mauna Kea mountain to analyze light reflected by the asteroid. The spectrum of the light was consistent with the presence of water and carbon-containing molecules.
The water was surprising to find, the researchers said, because at the temperature of the asteroid belt, about –120 to –70 C, water ice vaporizes into space.
The asteroids are billions of years old, so the ice on the surface must be replenished somehow. The astronomers said the most likely source is inside the asteroids.