Ambulances, the fire service and police were all called shortly before 4pm when a man was seen burning near a statue in front of the parliament in Wellington.
New Zealand police said in a statement: “Ambulance are with the man currently, who’s reportedly in a critical condition.”
They added they have no information about the man’s identity.
An eyewitness said he saw billows of black smoke and smelled something burning at the scene.
Staff from a pub across the road rushed over with buckets of water and extinguished the flames covering the man.
The witness said: “When the smoke cleared, there was a guy lying on the ground. It looked like he had been burned.”
Senior Sergeant Glen Turner, the officer in charge of the scene, said police would review footage from parliamentary security, but would also like to hear from anyone who may have filmed the incident on their phone.
He told Radio New Zealand: “Anyone else, eyewitnesses or anyone else who has used their cellphones in witnessing this, [and] any security footage would be part of our enquiries.
“Look, it’s too early to say what exactly he was doing, but that’s part of our enquiry and also to establish who he was and his movements before arriving here.”
Mr Turner said police does not know whether the man acted as part of a protest, and that it was too early to say what material he used to set himself on fire.
He said the immediate area around the scene will remain cordoned off for now.