Emergency services arrived in Dam Square to extinguish the flames with water, and part of the area was cordoned off as the victim underwent treatment before being taken to hospital.
"A person has set himself on fire on the Dam," Amsterdam police said in a message via Twitter. "Further information will follow."
There was no immediate information available on the man's condition or his identity.
Photos of the dramatic scenes began to circulate via social media and websites within minutes of the incident. One showed the victim on his back, engulfed in flames, while several people attempted to beat out the fire with their coats.
Later images showed him with much of his skin laid bare as his smouldering clothes had been stripped or burned away.
Dutch national broadcaster NOS cited eyewitnesses as saying the man spoke Dutch with a foreign accent, and that he "had no political motive". Belfast Telegraph