The "bombing" mission was supposed to kick up a six-mile high cloud of debris that scientists hoped would contain signs of water.
But live pictures relayed back from the Moon showed no sign of an impact - even though both craft dived into a darkened crater as planned.
Without an adequate plume of material to analyse, scientists may not find the answers they are looking for.
A British expert who helped the American space agency Nasa pick the location near the Moon's south pole said the lunar surface may not have reacted as expected.
But Dr Vincent Eke, from the University of Durham, stressed it was still too early to know if the mission had been a success or failure.
"If it turns out to be as dull as it looked, I'd imagine the soil just didn't respond as was hoped to being hit," said Dr Eke. "It might mean we don't get sufficient data, which would be a shame."
Dr Eke's team discovered strong evidence of hydrogen - a key component of water - within cold permanently shadowed craters at the Moon's poles, where temperatures fall to minus 200C.
Today's mission was intended to find out if water ice exists at the bottom of the crater Cabeus, 100 kilometres from the lunar south pole
Finding water, which could be used for drinking, making fuel and providing oxygen, would have major implications for the future of moon exploration.
A ready supply of water would make it far more practicable to build lunar bases or launch missions to Mars from the Moon.
The crashing spacecraft consisted of a Moon-mapping orbiter, LCROSS (Lunar Crater Observation and Sensing Satellite) and a 2.2 tonne empty Centaur rocket.
After they were blasted into space in June, the probe hung on to the rocket, which formed the upper stage of its launch vehicle.
In the early hours of today, UK time, the pair separated and the final countdown began to send them both crashing into the crater Cabeus.
Nasa broadcast the final moments of the drama, filmed by the LCROSS spacecraft, live on its website.
The pictures continued beaming back to Earth as the larger rocket took the first plunge just after 12.30am, UK time.
But the dramatic explosion that was predicted failed to materialise. The only evidence of an impact was a small "thermal signature" picked up by the LCROSS probe's infra-red camera.
Bemused experts commenting live on the mission continued to be up-beat. One said: "All the indications are that the instruments were working, and no matter what we find, it's going to be important."
The webcast images of the crater loomed larger and larger as the satellite approached on its collision course, but still showed no sign of debris.
LCROSS was supposed to carry out analysis of the material as it flew through the cloud, slamming into the crater four minutes after the rocket.
It was important for studying the debris composition that it was thrown up high enough to be caught by sunlight.
Evidence of water would be revealed in spectrographic patterns in the reflected light.
Instruments on Earth-based telescopes will also be looking for signs of water from the impacts.
Dr Eke, who led a study of data from Nasa's 1998 Lunar Prospector mission which revealed hydrogen concentrated in darkened craters, said: "There's absolutely no doubt that they hit the place they were aiming for, but how material gets thrown out from the surface depends on whether it's rocky or loose. If you hit a sponge, you're not going to see anything.
"It sounds like they got an infrared signal, but its too early to predict yet what they're likely to get."
Scientists know the Earth's oceans were created by an early bombardment by water-carrying comets.
It is likely the same hailstorm of comets brought water to the Moon. What is not known is if any of the water survived in the Moon's airless atmosphere.
If the hydrogen found by Dr Eke's team exists in the form of water ice, it implies that craters at the Moon's north and south poles could hold as much as 200,000 million litres of water.
"It's entirely possible because its so cold in these craters that water ice could be stable for billions of years," said Dr Eke.
"The water would be in the form of ice crystals in what is mainly rock. Given how expensive it is to take water to the Moon, having access to a ready-made water supply would make setting lunar bases a lot easier.
"Even if no water is found, you would then have to ask 'why not?' which would be interesting from a scientific point of view."
Last month new findings from three spacecraft, including India's Chandrayaan-1 probe, showed that small amounts of water might be chemically bound up with the Moon's soil.
Later as mystery over the fate of the mission deepened, Nasa confirmed that all nine instruments on board the LCROSS probe had been working and received "good data".
The first impact should have hit with force equivalent to 1.5 tons of exploding TNT, leaving a hole half the size of an Olympic swimming pool.
Nasa said further images were "on the way in".
One possibility was that the lighting made the debris cloud difficult to see.
Project manager Dan Andrews said the images could be "grey against black".
Expectations by the public may also have been too high, based on pre-crash animations, some of which were not produced by Nasa, he said.
Mr Andrews added: "What matters for us is: What is the nature of the stuff that was kicked up going in?"
He said ground-based telescopes had obtained good images.
LCROSS was fitted with five cameras and four other scientific instruments with which to scour the dust cloud from the first impact.
It might be two weeks before the analysis shows if there was water ice at the bottom of the Cabeus crater, said the space agency.
Nasa chief Doug Cooke later hailed the mission as a success.
"This is a great day for science and exploration," said Mr Cooke, associate administrator for the Exploration Systems Mission Directorate at Nasa headquarters in Washington DC. "The LCROSS data should prove to be an impressive addition to the tremendous leaps in knowledge about the Moon that have been achieved in recent weeks.
"I want to congratulate the LCROSS team for their tremendous achievement in development of this low cost spacecraft and for their perseverance through a number of difficult technical and operational challenges."
Anthony Colaprete, LCROSS principal investigator and project scientist at Nasa's Ames Research Centre in Moffet Field, California, said: "The LCROSS science instruments worked exceedingly well and returned a wealth of data that will greatly improve our understanding of our closest celestial neighbour."
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