The residents said they were exasperated by continuing break-ins and thefts, which they attributed to the group of about 40 campers, according to press reports.
When police arrived on the scene at 7.30pm the site was already in flames.
No injuries were reported.
The Roma arrived in caravans four days ago to the site near a housing development for low-income people in the 15th arrondissement of Marseille.
Old furniture, clothing and household appliances were among the objects set on fire, LaProvence.com reported.
“We warned them,” a member of the vigilante group told the online news site.
“At first we said we were not against them staying here (. . .) we just told them not to do anything stupid.”
But over two days a number of thefts occurred in the vicinity, the group claimed.
The individuals appeared pleased with their action, with one of them saying “we don’t need the army”.
But concerns have been raised that this may trigger similar moves against other encampments of Roma in neighbourhoods around Marseille.
The president of the human rights league for the Bouches-du-Rhône region told the French-language AFP news service that he feared the worst.
Bernard Eynaud said the incident crossed a barrier into new territory.
“There weren’t any injured but one can fear the worst for what may follow,” Eynaud said.
The incident recalls attacks on immigrants that have occurred in the past around Marseille.
A sentiment that authorities are not acting to deal properly with Roma has led to discrimination against the primarily Romanian and Bulgarian migrants that is deplorable, Eynaud said.
Earlier this week, police in Paris raided several Roma camps in northern Paris and detained detained 10 people for forcing children into pickpocketing in the capital.