This happened in my friend's henhouse this morning.
My friend Kate Hastings, who took this photo, thinks this egg froze because the hen cracked it slightly. But it also looks like the kind of expansion cracking that you can get when eggs freeze and burst their own shells. When the water in the egg white and yolk freezes, it forms a crystalline structure — and that structure isn't very tightly packed. There's lots of space between the molecules, which means that solid ice takes up more space than the liquid it replaced. If the egg freezes solid enough, it's got nowhere left to expand except outside the shell.
Eggshells, as it turns out, are not a great insulator from the cold. Chicken butts are, but chickens also don't always sit on their eggs consistently enough to keep those eggs from freezing.
One side note: You can actually thaw and eat frozen eggs. But you shouldn't thaw and eat an egg like this. That's because the shell is actually a pretty good barrier against bacteria. If a fresh egg — the kind sitting under a hen — has cracked, there's a higher likelihood of bacterial infiltration.
Thanks to Kate and Grampaw!