Oily yellow and orange snowflakes fell over an area of more than 1,500sq km (570sq miles) in the Omsk region on Wednesday, Russian officials said.
Chemical tests were under way to determine the cause, they said.
Residents have been advised not to use the snow for household tasks or let animals graze on it.
"So far we cannot explain the snow, which is oily to the touch and has a pronounced rotten smell," said Omsk environmental prosecutor Anton German, quoted by the Russian news agency Itar-Tass on Thursday.
But Vladimir Gurzhey, an official with the civil defence ministry in Omsk, told the Russia TV channel that the snow had four times the normal levels of iron in it.
The TV also reported that coloured snow had fallen in the neighbouring regions of Tomsk and Tyumen.
Omsk, in western Siberia, is a centre of Russia's oil industry. About 27,000 people live in the areas affected by the snow, Russian officials said.