National Party leader Bill English says there will be a thorough review after a man set himself on fire at Parliament - and has extended condolences to the man's family after such a "dreadful event".

English was asked about the incident yesterday while on the campaign trail today. The man involved died in Wellington Hospital overnight.

"It is quite tragic circumstances. I haven't seen any information that hasn't been available to the public. So if there is a family there that has experienced that kind of tragic loss then they certainly have our support and condolences," English said.

"There will be ongoing investigation about just what happened there."

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Asked if the incident raised any questions over security, English said security measures had been beefed-up in recent years.

"There is always a trade-off there, between a Parliament whee people can go and express their views - particularly if they are protesting or dissenting. You want to maintain that on the one hand, but on the other making sure everyone is safe.

"I'm sure there will be a thorough review. Because this has been a dreadful event. One which has not happened on Parliament grounds as far as I am aware. And we would absolutely want to make sure that whatever measures can be taken to stop it happening again are taken."

The site outside Parliament where the incident occurred was blessed this morning.

A small gathering stood in silence as several karakia were given, next to the fenced-off grass section in front of Parliament's forecourt. There were a number of Parliamentary security guards present.

Full precinct access has been restored, and Parliamentary staff have been offered counselling.

Witnesses to yesterday's horrifying tragedy say they had seen the man earlier in the week outside the Court of Appeal with protest signs that suggested he was involved in a custody dispute.

A man from the Backbencher ran with a fire extinguisher to help put out the flames, while someone else used a bag to keep the fire down. Security guards brought wet blankets to cover the man.

Police are continuing to investigate on behalf of the coroner. They were making inquiries into the man's identity and motives last night and were treating the area as a crime scene. They have asked for anyone with footage to contact police.

WHERE TO GET HELP

If you are worried about your or someone else's mental health, the best place to get help is your GP or local mental health provider. However, if you or someone else is in danger or endangering others, call police immediately on 111.

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LIFELINE: 0800 543 354 (available 24/7)
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