The fire broke out at the DCC Market in Dhaka's Gulshan-1 area. Over 600 shops caught fire around 2:00 am (local time).
It is feared that most of the shops have been gutted.
Part of the market that houses raw goods collapsed, The Daily Star reported.
As many as 22 firefighting units were on the spot to fight the fire. No deaths have been reported in the incident so far.
"Two firefighting units from the Navy and 20 units from the Fire Service have been working to douse the blaze," the Dhaka Tribune reported.
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"Can't say how this massive fire broke out," Gulshan police's Deputy Commissioner Mustak Ahmed said.
The fire service said the flames started from the eastern part of the mall and later spread.
A shop owner said the two-storey mall has almost 250 shops. Furniture shops occupy a large portion of the ground floor along with some eateries.
The kitchen market portion on the ground floor's eastern side has been burnt down. The four-storey Gulshan Shopping Centre adjacent to it, however, remained unaffected, the bdnews reported.
Later, the firemen and shopkeepers removed a number of gas cylinders stored behind the kitchen market.
The fire service said unavailability of a nearby water source has made it hard for them to work. Firefighters had to connect their hoses to as far as the Gulshan Lake.