The woman, Arti, was travelling in a train from Gwalior to Samalkha in Panipat when she felt labour pain. Her in-laws, who were accompanying her, got down at Sabji Mandi railway station here in the wee hours and sought help.
A railway employee called the police control room and help arrived quickly.
As the woman was being taken to hospital, she delivered a baby in the PCR van, said R K Singh, Deputy Commissioner of Police (PCR).
The woman and her child have been admitted to Bara Hindurao Hospital, said the officer.
Two policemen in a PCR van had given a long chase to three miscreants in a car and rescued a 19-year-old girl kidnapped by them from Geeta Ghat on May 27.