Fire and ambulance officers rushed to the man, who journalists at the Wellington building said was a lone protester.
Radio New Zealand said witnesses reported seeing the man holding a placard relating to the family court.
One unnamed bystander told the radio station he saw the incident from the nearby Backbencher hotel.
“Everyone was looking out the windows then people started rushing out of the Backbencher with buckets of water and stuff like that,” he said.
“I hadn’t actually seen what was happening but then when the smoke cleared there was a guy lying on the ground and he’d obviously been burned.”
Police would not comment on whether the man’s identity was known, or what his motives were.
Senior sergeant Glen Turner told reporters security footage would be examined as part of the investigation.
“Things like this are highly unusual and extremely unfortunate,” Turner added.
New Zealand is in the midst of a tightly contested election campaign in which conservative Prime Minister Bill English is battling a challenge from center-left rival Jacinda Ardern.