The London Fire Brigade says it has received multiple reports of the incident near Vauxhall station, a major commuter station on the south side of the city.
"We're attending reports of a helicopter crash," it said in a statement.
Police say they are aware of an incident but have declined to give any further details.
"You can see smoke billowing out just past the bridge," Robert Oxley, an eyewitness at the scene, told Sky News.
Footage on the BBC showed flames raging on a road.