Emergency services were called to Coral Bay, off Skegness Road in Ingoldmells, just after 1am this morning.
There were no casualties but three fire crews - from Skegness, Wainfleet and Ingoldmells - were attended the scene.
In spite of their efforts, Lincolnshire Fire and Rescue said there was 100% damage by fire to one caravan and heat damage to two adjoining caravans.
Lincolnshire Police are now appealing to the public for help with their investigation.
A spokesperson said: "We were called to reports of a caravan on fire at Coral Bay, off Skegness Road in Ingoldmells at 1.15am today (Monday.
"The incident is being treated as arson, but as with all investigations we are keeping an open mind while our enquiries are ongoing.
"We would like to hear from anyone who was in the area around the time of the fire or just before it, and may have seen, heard or recorded something which could help our investigation.
"Please contact us on 101 if you are able to help, quoting incident number 19 of the 11 October."