The victim, who has not been named, was discovered by emergency services at around 8pm on Thanet Road in Hull last night.
He died later despite medical treatment at the scene, Humberside Police said.
It is not known whether the man set fire to himself, or whether it was caused by other means, but police said they are not looking for anyone else in connection with the incident.
Det Supt Dave Wood said: "We were called to reports of a man who was on fire on Thanet Road in Hull just after 8pm on December 27. The ambulance and the fire service were already in attendance at the scene.
"The man had suffered serious burns in the isolated incident. He was given emergency treatment but he sadly died. No-one else was injured, and we are not looking for anyone else in connection with this."
He added that they were investigating the circumstances surrounding the incident and anyone with information is asked to contact police.