Six of the Metro-North train's eight carriages came off the tracks near Spuyten Duyvil station in the Bronx at 7 in the morning, the New York Fire Department said.
One car was just feet away from the Harlem River.
Police divers were in the water hours after the crash searching for survivors, CNN reported.
At least two of the dead appeared to have been ejected from the train, it quoted a source in New York City police as saying.
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The train came off the tracks just as it was coming around a sharp curve. The derailment occurred near where a freight train derailed in July, WCBS reported. No one was injured in that accident.
Spuyten Duyvil is a neighbourhood in the Bronx, one of the five boroughs of New York City.
In a message posted on its website, Metro North said the "Hudson Line service is temporarily suspended between Croton Harmon and Grand Central".
A passenger, Frank Tatulli, told WABC he thought the train was travelling faster than usual. He got out on his own despite suffering head and neck injuries.