In October, a female suicide bomber blew herself up on a city bus in Volgograd, killing six people and injuring about 30.
Officials said the attacker came from the province of Dagestan, which has become the center of an Islamist insurgency that has spread across the region after two separatist wars in Chechnya.
Russian state television reported that Sunday's explosion occurred at the security gate at the station's entrance.
A footage by a security camera facing the station that was broadcast by Rossiya 24 television showed the moment of explosion: a bright orange flash inside the station behind the main gate followed by plumes of smoke.
The television showed a lineup of ambulances outside the station, and several motionless bodies placed on the pavement.
The blast closely followed another attack Friday in the city of Pyatigorsk in the North Caucasus Mountains when a car rigged with explosives blew up on a street in Pyatigorsk, the central of a federal administrative district intended to stabilize the North Caucasus region.
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