The station serves the main Haramain High Speed Rail system. The route opened to the public in October last year, taking passengers between Mecca and Medina, Islam's holiest sites.
"Five people who sustained minor injuries because of the fire were transported to hospital," Al-Ekhbariya state television reported.
The General Directorate of Saudi Civil Defence said in an earlier tweet that it was working to extinguish the fire.
In a series of tweets, Jeddah's health directorate advised citizens to "stay as far away from fumes as possible".
It also counselled them to "wear masks when leaving the house" to protect against the smoke and dust.
A video uploaded on Twitter by the Mecca provincial government showed plumes of grey smoke rising from what looked like the inside of the complex.
An AFP correspondent said security forces closed the main road linking Mecca and Jeddah and cordoned off the site.
The blaze erupted at 12:35 pm local time (0935 GMT), according to the Haramain High Speed Rail's Twitter account. The company later said it was temporarily suspending all trips.
"For the sake of the safety of travellers, trips on the high-speed Haramain line will be suspended until further notice," it said.
The railway runs 450 kilometres (280 miles) via the Red Sea port of Jeddah, shuttling passengers at speeds of up to 300 kilometres per hour.
King Salman inaugurated the railway in September 2018. Officials described it as the biggest transport project in the region.
In 2011, the kingdom signed a deal for a Spanish consortium to build the rail track, supply 35 high-speed trains and handle a 12-year maintenance contract.
Saudi is boosting its infrastructure spending and expanding its railways - including a $22.5 billion metro system under construction in the capital Riyadh - as it seeks to diversify its oil-dependent economy.
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