Regional officials said the woman set off her charge near the metal detectors stationed at the entrance to the city's main train station while it was packed with afternoon travellers.
Footage on Russian state television showed windows blown off across the top two floors of the grey brick building and numerous ambulances gathered at the station's front entrance amid piles of debris and snow.
"Initial indications are that the blast was set off by a female suicide bomber," the National Anti-Terror Committee said in a statement.
A regional government spokesman told the RIA Novosti news agency that at least 18 people were killed and more than 40 injured in the attack.
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But a federal health ministry spokesman told Russian state television that the number of people wounded stood at more than 50.
The city of Volgograd -- known as Stalingrad in the Soviet era -- was already attacked in October by a female suicide bomber with links to Islamists fighting federal forces in Russia's volatile North Caucasus.
The October 21 strike killed six people aboard a crowded bus and immediately raised security fears ahead of the February 4-23 Winter Games in Sochi.
Militants are seeking to impose an Islamist state throughout Russia's North Caucasus. Their leader Doku Umarov has ordered his footsoldiers to target civilians outside the region and disrupt the Olympic Games.