Videos circulating online showed chaos on the platform at Tsim Sha Tsui station, with parts of the cabin on fire and one passenger lying on the platform with his clothes ablaze as bystanders tried to help him.
"Passengers were asked to evacuate from the Tsim Sha Tsui station," a police spokeswoman told AFP.
Other images from official broadcaster RTHK showed people packed in a smoke-filled train cabin, and described the situation as "chaotic".
The incident is a rare occurrence in Asia's finance hub, where the transportation network is known for its safety and efficiency.
Mass Transit Railway (MTR), the company which operates the city's subway, announced in its stations that "staff are handling the situation" and that trains were skipping Tsim Sha Tsui station, which services a popular retail district.
The MTR said the fire had caused disruptions on one of its lines and called on commuters to consider switching to other forms of transport.
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