Around 600 men, women and children, mostly from Syria, Iraq and Afghanistan, were sitting or standing outside the Keleti station while some 1,200 were downstairs in a so-called "transit zone", an AFP reporter said.
Meanwhile around 100 migrants arriving from a registration centre near the border with Serbia were sitting on the platform at a suburban train station, refusing to board a train to the Debrecen refugee camp.
Police said in a statement that the group "demanded to be allowed to travel on to Germany... Police have taken the necessary security steps to ensure that train traffic is undisturbed."
Only around 150 migrants arrived in Vienna by train from Budapest last afternoon, police said. On Monday, a record 3,650 arrived.
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The Hungarian government of right-wing Prime Minister Viktor Orban, which has built a razor-wire barrier along its 175-kilometre border with Serbia, said that it was applying EU rules.
"Normal people, abnormal people, educated, uneducated, doctors, engineers, any people, we're staying here. Until we go by train to Germany," said Mohammad, a Syrian protesting at the station.
Hungary's razor-wire barrier is proving ineffective in keeping out the tens of thousands of people trekking up from Greece through the western Balkans, with Hungarian authorities saying that 2,284 crossed yesterday including 353 children.
"If Europe is letting us in, why don't they give us visas? Why do we have to make this clandestine journey?" Bilal, a Syrian from the divided city of Aleppo, told AFP yesterday near Serbia's border with Hungary.