Russia's Interior Ministry said the explosion hit the central railway station the city of Volgograd. It gave no immediate details.
Provinces in southern Russia have been destabilised by attacks linked to Islamic rebels.
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.
On Friday, three people died 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 stabilise the North Caucasus region.