At refers to a specific location, a point on the geography...
... at the intersection of Broad Street and Maple Avenue.
On refers to the road as a surface or as a route.
There was some debris on the road.
We are on the road that takes us into the city.
Thus, we cannot say not OK "there was an accident at the road" not OK because the road is never a point. The road is analogous to a line, straight or curvy.
P.S. But as Peter indicates in his answer, if you're traveling on Broad Street and reach Maple Avenue, where there is an accident at the intersection, you can say:
There was an accident at Maple Avenue
But the sentence above requires the context that you were traveling on a road that intersects Maple Avenue; "at Maple Avenue" is there understood to mean "at the Maple Avenue intersection".