The flames broke out in the late afternoon Tuesday on the west side of I-95.
Thruway personnel and local fire departments responded to the two-alarm blaze.
No one was injured.
The warehouse is a salt shed inside the Larchmont Maintenance Facility and is owned and operated by the Thruway Authority.
It is unclear if the warehouse was filled with salt at the time of the fire.
The fire was placed under control Tuesday evening.