China's official Xinhua news agency reported one of the men died and one was in stable condition.
The Hindustan Times said the Sunday burnings marked the first time in a recent wave of protests against the government that self-immolations had occurred in the capital.
The two men had joined a protest against Chinese rule outside the Jokhang temple, known for Buddhist pilgrimages, and set themselves on fire in front of the temple, Radio Free Asia reported.
Xinhua identified the man who died as Tobgye Tseten of Gansu province, which has a large population of ethnic Tibetans. The man who survived was identified as Dargye of Aba county in Sichuan province, where numerous recent self-immolations have occurred.
Kirti monastery in Aba has been under near-lockdown since a monk self-immolated and died there in March 2011, leading to mass protests.
Lhasa was filled with police and paramilitary forces, and a source told Radio Free Asia the city was "very tense."
Free Tibet Director Stephanie Brigden said the organization was closely monitoring the situation in Lhasa.
"In other parts of Tibet where protests have taken place, we have documented hundreds of arbitrary arrests and disappearances. We fear a similar response in Lhasa. China's security apparatus is in place to remove and punish people in large numbers," Brigden said. "We have already received reports that Tibetan residents of Lhasa have been arbitrarily detained in the wake of yesterday's self-immolations, and that residents from [Aba] have been targeted."
Liu Weimin, a foreign ministry spokesperson, said Monday the incidents were "driven by political motives and are doomed to fail."
"The situation in Tibet is stable, and economic and social development of Tibet have been making continuous progress."