Up to 25 firefighters are tackling the blaze at the yacht club in Temple Manor Marsh, Knight Road.
It started at around 8pm.
A fire launch boat and the Coastguard are also at the scene.
More top news
Wiltshire Police are warning parents and children of stranger danger following reports of children being approached by strangers in cars.
Wednesday morning's weather for the west of the region
Wednesday morning's weather for the east of the region