Around 260 people were in the Apollo Theater, Belvidere, when the roof caved in at 19:55 local time (01:05 BST), the local fire department said.
Fire chief Shawn Schadle said that five people were in a serious condition.
A series of fierce tornadoes ripped through several US states on Friday, killing at least four people in total.
Extensive damage was reported in parts of the South and Midwest - with the states of Arkansas and Missouri declaring states of emergency. Tens of thousands were left without power.
A major tornado tore through the Arkansas state capital Little Rock, flipping cars, smashing roofs and toppling trees. Local officials said one person was killed and the city's mayor reported that at least 24 people were injured.
The state's governor, Sarah Huckabee Sanders, confirmed the deaths of two people in the town of Wynne, some 100 miles (170km) from Little Rock.
More than 40 tornado reports were made across six states on Friday night, according to the US government's Storm Prediction Center.
Several flights at Chicago O'Hare International Airport were delayed or cancelled as passengers were told to take shelter due to what it described as "severe weather".