The 35-year-old has been taken to hospital, after officers and people in the square helped to put out the flames.
Authorities said the man doused himself with a liquid before setting himself alight in central Minsk.
The man could be seen on fire on a sprawling, largely empty square in the capital - where the government headquarters are based - near a statue of Lenin in video footage shared online.
Several people could be seen rushing towards him to try and extinguish the blaze.
Investigators are looking into the incident, the Belarusian Investigative Committee said.
Belarus has been rocked by rolling protests since a disputed presidential election last summer which was won by Alexander Lukashenko, who has been in power for more than 20 years.
Demonstrators have called for the Belarusian president, to resign after he claimed victory over his popular opponent, Sviatlana Tsikhanouskaya.
The opposition have claimed the August election was riddled with fraud. Mr Lukashenko has denied vote-rigging allegations.
Authorities have cracked down hard on the largely peaceful demonstrations, the biggest of which attracted up to 200,000 people.
Thousands of protesters have been rounded up and nearly all opposition political figures have been driven into exile or jailed.
Though demonstrations have ebbed over the past five months, social media videos showed hundreds of protesters carrying red and white opposition flags at small rallies in Minsk earlier this month, chanting for Mr Lukashenko to resign.
Belarus was recently told this year’s ice hockey world championship would be moved away from the country, with the Ice Hockey Foundation saying the decision had been made because of “security concerns".
Additional reporting by agencies