We present broad-band observations of the afterglow and environment of the short GRB 111020A. An extensive X-ray light curve from Swift/XRT, XMM-Newton and Chandra, spanning ~100 seconds to 10 days after the burst, reveals a significant break at t~2 days with pre- and post-break decline rates of alphaX,1 ~ -0.78 and alphaX,2<-1.7, respectively. Interpreted as a jet break, we infer a collimated outflow with an opening angle of ~3-8 degrees. The resulting beaming-corrected gamma-ray (10-1000 keV band) and blastwave kinetic energies are (2-3)e48 erg and (0.3-2)e49 erg, respectively, with the range depending on the unknown redshift of the burst. We report a radio afterglow limit of <39 microJy (3-sigma) from EVLA observations which, along with our finding that vc<vX, constrains the circumburst density to n~0.01-0.1 cm^(-3). Optical observations provide an afterglow limit of i>24.4 mag at 18 hours after the burst, and reveal a potential host galaxy with i~24.3 mag. The sub-arcsecond localization from Chandra provides a precise offset of 0.80+/-0.11 (1-sigma) from this galaxy corresponding to an offset of 5-7 kpc for z=0.5-1.5. We find a high excess neutral Hydrogen column density of (7.5+/-2.0)e21 cm^(-2) (z=0). Our observations demonstrate that a growing fraction of short GRBs are collimated which may lead to a true event rate of >100-1000 Gpc^(-3) yr^(-1), in good agreement with the NS-NS merger rate of ~200-3000 Gpc^(-3) yr^(-1). This consistency is promising for coincident short GRB-gravitational wave searches in the forthcoming era of Advanced LIGO/VIRGO.