Flames could be seen running across the bridge after the incident occurred at around 6am local time.
Police chief Sylvia Moir shared pictures of the blaze on Twitter, reporting the train had derailed.
She said police officers and fire crew were working at the scene.
A Tempe Fire Department spokesperson said the incident involved a Union Pacific train that derailed, causing a partial bridge collapse over Tempe Town Lake, local media reported.
Officials are reportedly working to determine what was in each of the train cars and if there could be further hazards.
No injuries have been reported so far.
Tempe Police said some streets in the area are restricted and nearby roads could be impacted due to smoke from the fire.
It is unknown what caused the derailment.
