It is understood a van was involved in the incident at Palace Barracks in Holywood, Co Down.
There are no reports of any injuries.
A PSNI spokeswoman said: “Police are aware of a report of a fire in a vehicle at Palace Barracks in Holywood.
“There are no reports of any injuries. The cause of the fire is currently being investigated.
“There are no further details at this time.”
Fire engine leaving Palace Barracks in Holywood after report of a fire in a vehicle pic.twitter.com/508BNMKeyt— Claire Graham (@JournoClaire) August 14, 2015
Democratic Unionist MLA Alex Easton has expressed concern.
He said: “I am concerned after receiving reports that a van has been on fire at Palace Barracks and that there appears to be an on-going incident.
“Having spoken to the PSNI this has been confirmed. Palace Barracks is the home of 1 Scots Regiment and I would have concerns that a van has gone on fire within Palace Barracks and the safety of personnel.
“I am pleased to hear that there have been no injuries with the incident and I understand the issue is currently under investigation.”
Scottish soldiers moved from Dreghorn Barracks in Edinburgh to Palace Barracks in August 2014.