About 50 people were believed aboard the commuter bus, Investigative Committee spokesman Vladimir Markin said, adding the explosion took place after the suspected bomb-carrier, identified as Naida Akhiyalova, 30, of the Russian republic of Dagestan, boarded the bus.
Dagestan, in the North Caucasus, has been the site of separatist unrest since the 1990s, and is about 830 kilometers (518 miles) from Volgograd, formerly known as Stalingrad.
Russia has implemented measures to eliminate terrorist threats to its Winter Olympics in February 2014, but the attack, if proven to be conducted by a lone bomber, will be a reminder of the persisting dangers of the insurgency in North Caucasus, the Russian news agency RIA Novosti said Monday.
Volgograd is 690 kilometers (429 miles) from Sochi, the Olympic site.
A criminal case for murder, terrorism-related and arms-trafficking charges was opened, TV Novosti reported.
No group has yet claimed responsibility for the blast, RIA Novosti said, noting suicide attacks by women, and attacks on "soft target transportation" are tactics of Islamist rebels in Dagestan and neighboring republics.
A suicide attack by Dagestan women in Moscow subway stations in 2010 left 39 dead and 128 injured, and female suicide attack in Vladikavkaz, in North Ossestia, killed 12 an injured 40.