Around 100 fire-fighters fought the blaze and managed to douse it by 2 p.m.
A heavy smoke was seen coming out of the yard which could be viewed from the nearby Connaught Place area, a fire official said.
"After dropping off the passengers, the trains were halted at the yard near the washing line and were being readied for their return journey," a fire service official said.
"We are yet to ascertain the reason behind the fire, but an internal inquiry has been initiated from the railway department," Northern Railway spokesman A.S. Negi told IANS. Deputy Commissioner of Police (Railway) Sanjay Bhatia told IANS: "The fire started from the diesel engine of the Bhubaneswar Rajdhani Express."
A case of negligence will be registered, said Bhatia.
Train operations remained affected at the New Delhi Railway Station following the blaze. Several trains approaching the station were halted midway as the power supply to the over-head electrical lines was withdrawn as a precautionary measure.
The departure times of the Bhubaneswar and Sealdah Rajdhani Express trains are being rescheduled following the incident, Negi said. Earlier, fire officials said at least five coaches of the Bhubaneswar Rajdhani were damaged in the fire.