The slide, set up in Shore Road, Swanage, for the Swanage Carnival, came loose at about 13:40 BST.
Police said nine children were treated at the scene - at least one was taken to hospital.
South Western Ambulance Service said its paramedics treated three of the children but there was "nothing to suggest their injuries are serious".
There have been conflicting reports about the number of casualties but some children may have been treated by the carnival's own medical staff, an ambulance spokeswoman said.
Dorset Police said the children treated at the scene had either "stayed to enjoy the afternoon or gone home". It said one child was taken to Poole Hospital and three had been taken to the minor injuries unit in Swanage.
"Officers remain at the scene and are speaking with organisers," a spokeswoman said.
A South Western Ambulance Service spokeswoman said two of the children it treated "were reported to be suffering from neck pain" and were taken to Poole Hospital. The third was treated at the scene.
Dorset and Somerset Air Ambulance said it attended but was stood down before it landed.

Ben Flynn, 24, enticed the boy to his home in Droylsden, Greater Manchester, with promises to use his Playstation and offered to pay his bus fare.
Police described Flynn as a "dangerous predator".
At Manchester Minshull Street Crown Court Flynn, of Kings Walk, admitted 13 sex offences including two counts of rape and two sexual assaults.
He also pleaded guilty to three counts of causing a child to engage in sexual activity and two counts of causing a child to watch a sexual act.
Flynn also admitted a breach of sex offence prevention order and one count of meeting a child following sexual grooming.
He was also ordered to sign the sex offenders register for life.
In March last year, Flynn sent his victim a friend request on Facebook despite having never met or spoken to him.
The boy was then bombarded with private messages and Flynn offered to let him play computer games at his home.
When they met Flynn kissed the boy and touched him sexually before trying to take him to his bedroom but the boy refused.
He then pestered his victim, offered to pay his victim and went on to abuse him on two further occasions.
The boy's sister came across Flynn's messages to her brother and told her mother who phoned the police.
Det Con Claire Pickavance, of Greater Manchester Police, said the paedophile did not "show a shred of humanity" to the boy.
She added: "Ben Flynn is a dangerous predator who preyed on a young boy via social media before arranging to meet with him so that he could satisfy his own depraved urges."
A number of children were injured when an inflatable slide broke away from its moorings during a carnival in Dorset.
[NEXT_CONCEPT]
A paedophile who raped a 12-year-old boy after grooming him online has been jailed for 13 years.