A refugee being held on Nauru has suffered superficial burns after dousing himself in petrol and setting himself alight.

Security and International Health & Medical Services staff at the Australian offshore processing centre helped save the man when the incident happened at about 7.20am on Thursday.

"The man, who was able to walk to IHMS for treatment, sustained superficial burns and is being treated for inhalation of smoke and petrol fumes," a government spokesperson said on Friday.

Investigations are ongoing.

"Initial investigations indicate the individual has a history of behavioural issues including domestic violence and was attempting to visit an estranged girlfriend at the time, who was living in protective accommodation," the spokesperson said.

"We wish the man a speedy recovery and continue to pray for him."

Readers seeking support and information about suicide prevention can contact Lifeline on 13 11 14.