Russian media reported that there was a huge explosion followed by a plume of smoke and fire in the area of Streletskoe and Tomarovka, located around 10 miles from Belgorod.
Vyacheslav Gladkov, the region’s governor, announced that one person had been injured in the fire, but the injuries are not believed to be life-threatening.
There have been no immediate comments from the defence ministry.
Mr Gladkov said: “A fire has occurred on the territory of one of the objects belonging to the MoD.
“All operational services are working at the site and all essential measures are being taken to ensure safety”.
He added: “There is information about one injured person among local residents.
“The injury is not serious and there is no danger to life. All necessary medical help is being provided.”
Images posted on social media believed to be of the incident show a large funnel of smoke rising above the ground.
It comes after Russia, last month, accused Ukraine of carrying out a helicopter attack on a fuel depot in Belgorod.
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However, Ukraine denied the attack as well as other attacks Russia has insisted Kyiv has been behind, such as shelling villages and firing missiles at an ammunition depot.
Other Russian regions, that also border Ukraine, have previously reported cross-border shelling incidents since Russia first invaded Ukraine in February.
Last week, two large fires broke out at two oil depots in the Russian city of Bryansk, less than 100 miles from the Ukraine border.
Russian media reported that the first fire occurred at a civilian facility that held 10,000 tons of fuel, while the second fire was at a military fuel depot holding 5,000 tons.
Some Russian news outlets suggested the fires were caused by Ukrainian sabotage.