"No trains will be leaving or arriving at Keleti station until further notice. Would everyone please leave the premises," a public tannoy announcement said.
The announcement came after around 500 migrants- men, women and children- tried to board the latest train to Vienna, the AFP reporter said.
Some migrants began shouting as hundreds of police, some of them riot officers, began moving people out although they offered no resistance and there were no clashes.
In August alone, 50,000 migrants, mostly from hotspots such as Syria, Iraq and Afghanistan, entered European Union member, Hungary.
Most then seek to travel onwards to western European countries, particularly Germany.
A total of 3,650 migrants reached Vienna by train yesterday, this year's biggest daily number, Austrian police said.