Modi said he was "pained by loss of lives" and asked Defence Minister Manohar Parrikar to visit the spot.
"My thoughts are with the bereaved families. I pray that those who are injured recover quickly," Modi tweeted.
Pained by loss of lives caused by a fire at central ammunition depot in Pulgaon, Maharashtra. My thoughts are with the bereaved families.— Narendra Modi (@narendramodi) May 31, 2016
"Have asked Manohar Parrikar to take stock of the situation," he said.
At least 15 people were killed and another 19 injured in a major fire followed by a blast in the depot early on Tuesday. Meanwhile, Army Chief General Dalbir Singh also left for Pulgaon (Maharashtra) where the fire broke out.