Stargate Wikia says that
Roswell is a city in New Mexico on Earth. It is the location of a rumored crash landing of an alien spacecraft in 1947. (SG1: "Thor's Chariot", "Out of Mind", "Prometheus")
There seems to be two references that hint at the fact that the crash had something to do with Asgard:
In the episode "Out of Mind", O'Neill implied that the Asgard have a connection to Roswell:
Hathor: How do we contact the Asgard so that we might align with their forces?
O'Neill: Try Roswell. Little place in New Mexico.
In "Thor's Chariot", the Asgard's true form looks like a stereotypical "Roswell grey" alien, and Carter-alternate even refers to them by that name in "Point of View" episode.
Was there any information (from episodes, or official info from creators) that clarified what exactly happened in Roswell in 1947; and whether the Asgard were involved?