Pro-Russia militants have stormed the police headquarters in the Ukrainian port city of Odessa, where 42 people died in clashes two days ago.

An AFP reporter on the scene said the crowd of more than 2,000 shouted "fascists, fascists" as they attacked the building, demanding the release of some of their number arrested during the clashes.

In a bid to calm the crowd, police freed one of the detained pro-Russians, who emerged to cheers of "well played" from the protesters.

The protesters, some armed with batons, had made it into an interior courtyard.

Odessa, a scenic Black Sea port home to more than 1 million people, was still in shock after running battles on Friday between pro-Russia and pro-Kiev protesters culminated in an inferno that left 38 dead.

The majority of those trapped inside a trade union building in central Odessa were thought to be pro-Russians who had barricaded themselves in.

Both sides were lobbing petrol bombs at each other when the blaze erupted, sparking frantic efforts to escape.

According to local health officials, 30 people died when they were overcome by fumes and eight died in the desperate attempt to escape.

A further four were killed by gunshot wounds during the initial clashes, officials said.

Ukraine's prime minister, Arseniy Yatsenyuk, who visited Odessa earlier on Sunday, blamed the deaths on what he called "inefficient" police.

Both sets of protesters have voiced outrage that the fire service took so long to respond to the blaze.