The injured included a nine-year-old girl. The incident occurred at 12.45 p.m. (0845 GMT) in Volgograd, a city near the volatile North Caucasus region, Xinhua reported citing regional law enforcement agencies.
The bomber detonated her explosives in front of the metal detection arches inside the main entrance to the railway station, local media reported. TV footage showed the railway station was cordoned off and ringed with ambulances and police cars.
Russiya-24 TV channel showed the moment of the blast, as the main building of the railway station was suddenly rocked by a powerful explosion inside, with heavy smokes spewing from the entrance following a sparkling flame.
"The investigative department of the Investigative Committee for Volgograd region launched a criminal case in relation to the explosion," said committee spokesperson Vladimir Markin.
The railway station's security system prevented the suicide bomber from entering the waiting room and thus averted greater casualties, he said, adding that the bomb was no less powerful than 10 kilograms of TNT.
Policemen searching the site found an unexploded grenade after the blast.
"When specialists were examining the site of the blast, they found an unexploded F-1 grenade, which was rendered harmless, " Markin added.
According to the Emergency Situations Ministry's regional branch, there were no emissions of toxic agents after the blast.
Volgograd governor Sergei Bozhenov said the first three days of the New Year will be declared mourning days in the region for victims of the deadly explosion.
President Vladimir Putin has instructed the government to take all measures to assist those wounded in the explosion, said his spokesperson Dmitry Peskov.
Prime Minister Dmitry Medvedev also urged his government to offer necessary assistance to the victims, said the press service of the government.
The interior ministry said that security has been tightened at railway stations and airports following the fatal blast.
The incident was the second of its kind that had rocked Volgograd recently. Two months ago, a female suicide attacker blew herself up on a bus, killing seven and injuring dozens of others.
The October attacker was later identified as the wife of Dmitry Sokolov, a man from the Moscow suburbs who joined an insurgent group in southern Russia's Dagestan Republic.