COVID-19, caused by the SARS-CoV-2 virus, has quickly spread throughout the world, necessitating assessment of the most effective containment methods. Very little research exists on the effects of social distancing measures on this pandemic. The purpose of this study was to examine the effects of government implemented social distancing measures on the cumulative incidence rates of COVID-19 in the United States on a state level, and in the 25 most populated cities, while adjusting for socio-demographic risk factors. The social distancing variables assessed in this study were: days to closing of non-essential business; days to stay home orders; days to restrictions on gathering, days to restaurant closings and days to school closing. Using negative binomial regression, adjusted rate ratios and 95% confidence intervals were calculated comparing two levels of a binary variable: above median value, and median value and below for days to implementing a social distancing measure. For city level data, the effects of these social distancing variables were also assessed in high (above median value) vs low (median value and below) population density cities. For the state level analysis, days to school closing was associated with cumulative incidence, with an adjusted rate ratio of 1.59 (95% CI:1.03,2.44), p=0.04 at 35 days. Some results were counterintuitive, including inverse associations between cumulative incidence and days to closure of non-essential business and restrictions on gatherings. This finding is likely due to reverse causality, where locations with slower growth rates initially chose not to implement measures, and later implemented measures when they absolutely needed to respond to increasing rates of infection. Effects of social distancing measures seemed to vary by population density in cities. Our results suggest that the effect of social distancing measures may differ between states and cities and between locations with different population densities. States and cities need individual approaches to containment of an epidemic, with an awareness of their own structure in terms of crowding and socio-economic variables. In an effort to reduce infection rates, cities may want to implement social distancing in advance of state mandates.