At least 22 people were killed at a wedding party in western India after a wall collapsed on the guests, police said.

The guests had taken shelter from a storm under a tin shack that adjoined the wall when it collapsed late on Wednesday, local police officer Anil Tank told AFP news agency.

"The wall and a tin shed attached to it at the marriage venue collapsed due to a storm," said Tank, superintendent of police in Bharatpur, the district of Rajasthan state where the incident occurred, nearly 200km south of the capital New Delhi.

The death toll included at least four children. Another 28 people were injured and have been taken to hospital, Tank added.

"The injured were rushed to nearby hospitals immediately and treatment was administered. One injured has been referred to SMS Hospital in Jaipur," said Tank.

"We worked through the night," a rescue worker told India TV.

"We tried to rescue as many people as possible, the scene was horrific," the rescuer added.

Rajasthan is one of India's most arid states but suffers frequent dust storms during the hotter months.

A heatwave has swept across many parts of India in recent weeks, with temperatures reaching 44C in New Delhi.

Building collapses are common in India, where high demand for housing and lax regulations have encouraged some builders to cut corners, use substandard materials or add unauthorised extra floors.

In 2013, a building being constructed illegally in Mumbai caved in, killing 74 people in the country's worst building collapse in decades.