Okay.
First, at least in American English, we'd be MUCH more likely to use "intersection" than "crossroads." Outside of old blues songs (who doesn't love Robert Johnson!) I've never heard an American say "crossroads" in this context. It's not incorrect, it would just be unusual. Perhaps "crossroads" is more commonly used in British English (can any Brits comment on that?).
With that out of the way, if I were to use "crossroads", I would say "There was an accident at the crossroads this morning." I can't identify why, but "an accident in the crossroads" sounds terribly unnatural to my ear. I
Using "intersection" instead, I think it becomes a bit tricky. If the accident occurred right in the middle of the intersection, then I would likely say "there was an accident in the intersection this morning." Otherwise I would probably say "there was an accident at the intersection." I think this would be pretty fine distinction, though, and I don't think that either word choice sounds unnatural.