The fire began just after 1 a.m. inside the Rosewood Auction Center on North Prairie Street.
Fire crews from Brookston, Battle Ground, Chalmers, Delphi and Tippecanoe County were called in, and aerial units have been called to standby.
A woman was taken to a Lafayette hospital with injuries not believed to be life-threatening.
The shelter helped residents following severe weather early Thursday morning.
Officials are asking drivers to find alternative routes and avoid the area if possible.