Another suspected female suicide bomber killed at least six people when she attacked a bus in the city in October.
Moscow is concerned militant groups could be ramping up violence in the run up to the 2014 winter Olympic Games in Sochi in February.
An Islamist insurgency in the North Caucasus region has led to many attacks there in recent years. Insurgents have also attacked big Russian towns.
Volgograd lies about 900 km south of Moscow, 650 km north of the North Caucasus and 700 km north-east of Sochi.
President Vladimir Putin has ordered law enforcement agencies to take “all necessary security measures” in the bomb’s aftermath, said a Kremlin spokesman.
Vladimir Putin has ordered the most gravely injured victims to be flown to Moscow for treatment.
Security would be stepped up at train stations and airports, said a federal police spokesman.
Sunday’s explosion rocked Volgograd-1 station at around 12:45 at a time when millions of Russians are travelling to celebrate the New Year.
The bomb contained 10 kg (22 lbs) of TNT, was rigged with shrapnel and was detonated near the metal detectors at the station entrance, said a spokesman for the Investigative Committee.
“According to our information the explosion was carried out by a female suicide bomber who approached a metal detector, saw a policeman there, got nervous and detonated the bomb stuffed with pieces of shrapnel,” said the spokesman, Vladimir Markin.
He said the security presence had prevented a much higher death toll at the station, which was packed at the time of the blast as several trains were delayed.
No group has yet claimed responsibility for the blast, which Vladimir Markin said injured 34 people – eight critically – including a nine-year-old girl whose mother was killed in the attack.
RIA Novosti news agency said security sources were naming the attacker as Oksana Aslanova. She has reportedly been married twice to militants and is also suspected of being a friend of Naida Asiyalova, the suicide bomber who targeted the Volgograd bus in October.
However, the Interfax news agency said the suspect’s head had been found at the site – and, according to an unidentified security source, “it has been established that the suicide terrorist was a man who had brought explosives to the station in a rucksack”.
A nearby security camera facing the station caught the moment of the blast, showing a bright orange flash behind the station’s main doors.
The explosion shattered windows and sent debris and plumes of smoke from the station entrance.
Ambulances rushed the injured to hospital, while motionless bodies were laid out in the station forecourt.
The incident was being treated as an act of terrorism, Vladimir Markin said.
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