Bystanders doused the flames and the man was sent to a hospital to be treated for severe burns, reports said.
In recent months more than 25 Tibetans in China, many of them monks, have set themselves on fire to protest Beijing’s rule of the region.
China’s leaders say the Tibetan areas are an inseparable part of the country.
Most of the self-immolations have taken place in Tibetan parts of Sichuan province.
Associated Press news agency said the self-immolation in Delhi was the second in India recently. Last year a Tibetan exile set himself on fire outside the Chinese embassy, suffering minor burns.
A Tibetan government in exile is located in the northern Indian city of Dharamsala.
The self-immolation took place in the centre of Delhi near the Indian parliament after a march by several hundred Tibetans to protest the visit by Hu Jintao.
He is due to visit India later in the week for a summit.
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