Police gather at the scene on parliament grounds.

The man who reportedly set himself on fire outside Parliament has died, police say.

Police are continuing to investigate following the incident, which happened on parliament grounds in about 3.50pm on Thursday.

The man died in Wellington Hospital, they said.

Cordons were set up around Parliament after the incident.

Police are investigating on behalf of the coroner.

A Wellington Free Ambulance spokesman said the man was taken to Wellington Hospital's emergency department and arrived there in critical condition.

He died overnight.

Police on Thursday placed a cordon around a burnt patch of grass, about a metre in diameter, on the lawn outside Parliament House.

Senior sergeant Glen Turner, of Wellington Police, said they were called to a fire outside Parliament grounds about 3.50pm.

"When police got here there was a small fire, which had subsequently been put out," he said.

"We're treating the scene as a crime scene, which is procedure. There's a number of inquiries that need to be done."

Police were yet to establish the man's identity. They were trying to piece together who he was and what his movements were before the fire, Turner said.

Security footage from Parliament grounds would be used in the investigation, he said.

Police were appealing for witness or anyone who helped the man to come forward.