Smoke was pouring from the derelict building at St George's, just off the ring road, on Thursday evening.
The cause of the blaze has not been confirmed, but West Midlands Fire Service has now confirmed it was confined to a large skip in a yard behind the building.
Police said on Twitter that the blaze was from a skip fire, with footage posted on social media shortly before 9pm showing an orange glow from the flames visible through part of the building.
At least two fire engines were at the scene along with police officers.
Wolves city Centre Police said: "City centre team one in attendance at a skip fire on St George's Parade. West Midlands Fire Service attending."
The large site has remained empty since Sainsbury's moved to a new supermarket on the ring road in 2015.
There are plans to turn the building into a new secondary school.