The fire at the Pulgaon ammunitions depot started before dawn, said an official at the local police station, who spoke on condition of anonymity because he wasn't authorized to speak to the media.
Devendra Fadnavis, the chief minister of Maharashtra state, where the depot is located, told reporters that the fire had caused a "massive loss of life and property."
New Delhi Television and other local media said that 17 army personnel died in the fire, and that 19 other people were injured, AP reported.
NDTV also reported that about 1,000 villagers had been evacuated from around the area.
Fadnavis said that the state government was making "every resource" available to the army to help it control the situation, and was ensuring that all local hospitals were equipped to deal with the injured who were being brought in.
India Prime Minister Narendra Modi tweeted that he was "pained by loss of lives" in the fire and added that he had asked the defense minister to visit the site.
The Pulgaon ammunition depot, one of India's largest, is located in Maharastra state's Wardha district.