There is no suggestion it is terrorism, police said. The crash site is located close to MI6's main building.
While it appears there were foggy conditions, the building has been under construction for sometime.
There were suggestions that the helictoper, which is reported to just be carrying the pilot, was flying low throughout the area, which is in one of the busiest parts of the capital.
The Augusta 109 civilian helicopter apparently hit a crane on top of a building, Scotland Yard said. It then hit two cars, which have been left abandoned and charred.
An image circulated on Twitter showing the aftermath of the helicopter crash in south London (@tom_avis)
The crash has caused travel chaos as roads were shut and the local bus station was closed. Local gridlock meant that emergency services struggled to get through.
Fire and rescue services said they were taking "lots of emergency calls" as eyewitnesses described seeing grey smoke towering into the sky, close to Battersea Bridge, in Vauxhall.
More than 60 firefighters and eight fire engines are tackling the blaze.
Pictures showed plumes of black smoke billowing into air after the crash, which occurred near Vauxhaull Bus station.
Roads have been closed as emergency services scrambled to the scene.
A witness, Aaron Cane, told BBC Radio Five Live: "I heard a big crash and I looked up.
"There was a massive ball of flames. It is chaos. I just saw the helicopter hit the floor."
Another witness Quinn Murray, added: "The helicopter hit the top of the crane and then came down. I saw smoke and fire. I am completletly shocked."
An image circulated on Twitter showing the aftermath of the helicopter crash in south London(@tom_avis)
Another commuter described seeing a "large plume of dark grey smoke" as she crossed Battersea Bridge at around 8am.
She said: "I was coming across the bridge and basically I could see a few cyclists on the bridge looking towards the water.
"I looked over to see what they were looking at and could see a pall of grey smoke coming from the south side.
"You could see a large plume of dark grey smoke."
Paul Ferguson, who was working in an office near the incident, said: "There was a flash and the helicopter plunged to the ground. It exploded and you can imagine the smoke coming out of it.
"It was probably heading from the nearby heliport. It may be that on this misty morning the lights on nearby St George's Tower weren't on and it moved and clipped the edge of the crane and lost control."
An Augusta 109 helicopter
Another eyewitness Chris Matthison told the BBC: "There was some damage to the crane. It's possible the crane is lying across Nine Elms road.
"The top of the nearest building is steeped in mist and difficult to see."
He added: "I heard a very unusual dull thud, then there was silence. The silence really took my imagination. Emergency services responded very quickly."
Erin Rogers was waiting at a bus stop outside Vauxhall station.
He added: "It was a bit surreal actually. I just had a coffee in my hand, I looked up, heard a bang and saw bits of crane debris falling to the floor.
"Then the helicopter was in flames. The rest of the people at the bus station were looking on going 'What was that?'.
"It's something I will never forget for a long time."
As rush-hour traffic built up, the A3036 Wandsworth Road in Vauxhall was closed in both directions between Vauxhall Cross and the Lansdowne Way junction.
Transport for London said buses in the Vauxhall area were subject to diversion and delays due to the incident. People were advised to avoid the area and seek alternative routes.
The First Capital Connect train company warned its passengers to expect travel difficulties in the Vauxhall area, although its services were not affected.
A Met police spokesman said: "Police were alerted at approx. 08.00hrs on Wednesday 16 January re. an incident at Wandsworth Road SW8.
"At this early stage it appears a helicopter was in collision with a crane on top of a building.
"Met officers, the ambulance service and the London Fire Brigade have attended."
He added: It is too early at this stage to confirm any casualties.
"We will confirm further details on the incident as soon as possible."
Flying conditions this morning were reflected in the fact that London City Airport in Docklands had delays due to poor visibility.