Heavy flames shot through the roof, and firefighters are unable to access the building to put out the flames.
The building is described as a "field house" on Black's multi-acre, multi-million dollar property.
Black was not at home at the time. The cause of the fire is under investigation.
Black is a businessman and money manager, with a focus on leveraged buyouts and private equity. He worked with Michael Milken at investment bank Drexel Burnham Lambert until it went under. He then formed his own firm, Apollo Management.
The estate, near Martha Stewart's Bedford home, is complete with an apple orchard, a sculpture garden and a reflecting pool.
His mansion houses one of the country's most impressive collections of 19th- and 20th-century art, impressionists, contemporary and old masters. The art including archaic Chinese bronzes and Old Master drawings. He serves on the Board of Trustees of The Metropolitan Museum of Art.
WEB PRODUCED BY: Scott Curkin