There were no reports of injuries, but thick black smoke rose above the city and police advised those living in the area to stay indoors and to keep windows closed to protect against fumes, Reuters reported.
No guests were at the Oceana waterpark, a new addition to Gothenburg's Liseberg funfair which had been scheduled to open later this year, a spokesperson for the park told Swedish news agency TT.
Live video showed slides being engulfed by flames while several fire fighting vehicles surrounded the area.
"The fire started at one of the water rides outside the building and then spread to the entire building," Liseberg, said in a statement.
Guests at a nearby hotel and office premises had been evacuated, it added.