An investigation is underway after a man was fatally shot on an inner Sydney street on Friday night, with police saying a nearby car set on fire was connected to the incident.

Emergency crews rushed to Baptist Street, near Cleveland Street, at Surry Hills after reports of shots being fired about 7:45pm.

A man, believed to be in his 30s, was treated by paramedics at the scene but died soon after.

Police set up a crime scene which closed Cleveland Street between South Dowling and Elizabeth Street in both directions.

Buses were diverted away from the area and people advised to take alternative routes.

By 10pm the street had not reopened.

In the nearby suburb of Kensington, Fire and Rescue NSW (FRNSW) were called to Kensington Road just before 8pm where they found a Porsche on fire.

FRNSW Superintendent Adam Dewberry said it took crews 20 minutes to extinguish the flames.

"Initial inquiries alleged the two incidents are linked," NSW Police said in a statement.

"Detectives from South Sydney Police Area Command, with the assistance from State Crime Command's Homicide Squad commenced an investigation into the incident."

A report will be prepared for the coroner.

Anyone with information is urged to contact Crime Stoppers on 1800 333 000.