There were over 15 passengers in the Bogie of the Falaknuma Passenger after it arrived here at 12.30 pm and caught fire, cause of which is not known, but six of them jumped to safety.
The victims are yet to be identified as the bodies have been burnt beyond recognition, police said.
The injured have been admitted to a hospital here where the condition of two was stated to be serious.
Some of the passengers were headed for Tuljapur in Maharashtra to attend the Bhavani festival which takes place during Navarathri, police said.
Superintendent of Police Praveen Madhukar Pawar and railway police officials and District Incharge Minister Revunaik Belmagi visited the station.