His order is in response to last month's terrorist attack on Moscow's Domodedovo Airport, which killed 36 people and injured more than 100, RIA Novosti reported.
Medvedev ordered the chief of Russia's Federal Security Service and the ministers of interior, emergencies, defense and transport services to develop plans to hold security drills on a regular basis.
He made a surprise visit to Moscow's Kievsky railway station Thursday and criticized officials for failing to ensure safety there, and said he wanted it to report steps it had taken to correct the deficiencies to him within three days.
All nine Moscow railway stations received hoax bomb threats Sunday.
Vladimir Yakunin, head of the Russian rail monopoly Russian Railways, said it would install security equipment throughout the system. But he said the government would have to pass new legislation to determine who would use the equipment and who would conduct passenger searches.