A video shared on Twitter showed a blaze near apartment blocks in Belgorod, 40km (25 miles) from the border.
Some clips appeared to show rockets hitting the oil depot.
Ukraine’s top security official, however, denied Ukrainian forces were behind the attack.
“For some reason, they are saying we are behind it. This does not correspond to reality,” security council secretary Oleksiy Danilov said.
Ukrainian aircraft have not struck targets in Russia previously. Yet Belgorod governor Vyacheslav Gladkov accused Ukraine of launching the attack, and later Russian defence ministry spokesman Igor Konashenkov gave details. Read more and see video here.