The incident took place in Pendlebury Close, Longton, on Friday evening (November 8).
A spokesman for South Ribble Police said: "We have been made aware of an incident in the Longton area in which a firework has been attached to the head of a hedgehog and set off.
"It comes with great sadness to say that due to this incident the hedgehog has had to be put down due to the extent of it injuries.
"We request that anyone who may have any information regarding this incident come forward."
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Call 101 quoting log 1702 of November 8 or report anonymously to crime stoppers on 0800 555 111.