The force said a woman was pronounced dead at the scene.
Three people were treated at the scene by paramedics for minor injuries, and a woman and a child were also taken to hospital with minor injuries.
GMP said five properties were evacuated as a “precaution” and a small scene remains in place.
The force said a joint investigation is currently under way with Greater Manchester Fire Service and Bury council partners.
Daniel Peace, 29, who lives nearby, said he was sitting in his attic with the windows open when he heard an “almighty bang”.
He told the Evening Standard: “I’ve never heard anything like it in my life, it was unbelievable. The whole ground shook and instantly I knew it wasn’t something like a firework.”
“I expected to look out the window and see a crater or something, it was unbelievable,” said Mr Peace.
Bury Council leader Eamonn O’Brien said the local authority is supporting residents at the scene.
He said on Twitter: “My thoughts are with all those affected. The community response has been incredible as always.”
Electricity North West said on Twitter that it had cut power supplies to 60 properties following the incident.
It later provided an update saying power had been restored to all but six properties which will be “remaining off due to the nature of the incident”.