The typically over-the-top designer put a water feature in the centre of a large tent next to Milan's Arco della Pace, around which a ring of fire was lit at the start of the show as models circled.
The autumn/winter 2014-2015 ready-to-wear collection featured flapper dresses, large fur shoulder wraps and long skirts with flames lapping up the sides.
Fashion editors tweeted the show was "unebelievable" and they "loved it", although more than a few fashionistas could be seen struggling from the intense heat in the front row — dabbing their faces and fanning themselves to stay cool.
Cavalli opened his largest shop in the world in Milan this week, which includes furniture, kitchenware and even wallpaper.
Asked by Il Sole 24 Ore business daily if he was looking for a business partner, the Florentine designer joked he would like patronage from the Medici family.
"As a Florence creative my great capacity is creating, unfortunately I do not have the same capacity in managing," he said.
He added: "The person who can allow me only to dream in my creativity does not exist, maybe they are not even born".