More than a dozen people were killed, RIA Novosti reported, and the toll was expected to rise. More than 40 were injured.
Russia's Investigative Committee determined 16 people were killed in the blast near the metal detectors at the front entrance to the Volgograd-1 train station. Novosti said 14 died at the scene and two others died at a hospital.
Who carried out the bombing was in question. Earlier reports said a woman suicide bomber was responsible. But unconfirmed local news sources said a male finger with a pin from a grenade was found at the scene, Novosti reported.
Train service remained on schedule despite the blast, a Russian Railways representative told RIA Novosti.
This was the second terror attack in Volgograd this year. A female suicide bomber from Russia's southern republic of Dagestan blew up a bus in October, killing six people and injuring 37 others.