The activist, Manoj Tripathi, has not suffered major burn injuries, but he has been taken for medical examination, they added.
"Manoj, an RTI activist, poured kerosene and set himself on fire. Policemen deputed in and around Raj Bhawan immediately rushed and doused the flames in a few seconds. He might have sustained minor burns," Bhopal Inspector General of Police Yogesh Choudhary told PTI.
The activist was demanding the arrest of Yadav in the Vyapam scam, Choudhary said.
The IG denied reports that Manoj set himself ablaze in front of the convoy of Yadav (89) when he was leaving the Raj Bhawan for airport to catch a flight to Lucknow.
The activist has been taken for medical examination. Manoj will be booked for his act, he added.
Yadav, an UPA-appointee, managed to complete his full term but faced tough time when he was accused of rigging a forest guard recruitment test conducted by Vyavsayik Pariksha Mandal or MP Professional Examination Board, popularly called Vyapam, in 2015.
Thereafter, Yadav moved the MP High Court for quashing the FIR against him.
In May 2015, the HC quashed the FIR against him, holding he enjoyed immunity against prosecution while in office.
It remains to be seen if the CBI, now handling the high-profile scandal, will proceed against Yadav, a former Uttar Pradesh Chief Minister.
Meanwhile, Gujarat Governor O P Kohli has reached the Raj Bhawan and will take additional charge of Madhya Pradesh tomorrow.
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"Manoj has been arrested and booked under sections 353 (assault or criminal force to deter public servant from discharge of his duty) and 332 (voluntarily causing hurt to deter public servant from his duty) of IPC, as an inspector was injured while he was putting out the fire," Singh said.
"Manoj tried to set himself on fire as soon as the entrance gate of the Raj Bhawan opened to make way for Yadav's convoy to reach the airport," he added.
