The man collapsed to the ground and was rushed to a nearby hospital for treatment. A statement read on state TV late Friday said he died at the capital's main hospital.
A private radio station said the man was a soldier and that he was wearing his military fatigues when he set himself on fire.
This self-immolation comes on the heels of similar protests in Tunisia, Egypt, Algeria and Senegal's neighbor to the north, Mauritania.
Tunisia's mutiny that ousted President Zine El Abidine Ben Ali was touched off by a struggling 26-year-old university graduate who lit himself on fire after police confiscated his fruit and vegetable cart in December. Other self-immolations then quickly spread elsewhere in northern Africa and the Middle East.
Senegal is a moderate Muslim nation with one of the most established democracies in the region, but the country is facing its worst power outages in a decade and the cost of living has spiraled. There is growing discontent over octogenarian President Abdoulaye Wade's attempt to run for a third term, as well as the increasing influence of his son.
A U.S. diplomatic cable published by WikiLeaks warned that father and son appeared to be "preparing the way for a presidential dynastic succession."
An hour after the incident, traffic had gone back to normal. Pieces of the man's burnt clothing lay in a charred circle.