Officials said an apparent suicide bomber detonated explosives near a metal detector in the entrance hall of the Volgograd train station on December 29, when it was packed with travelers.
Officials initially said the suspected bomber was a woman but later said a man could have been responsible.
There was no immediate claim of responsibility, but Russian reports suggested Islamist militants in the nearby North Caucasus were suspected.
The UN Security Council condemned the attack, which occurred around six weeks before Russia hosts the 2014 Olympics in Sochi.
"All of a sudden there was a really strong boom -- my kiosk almost bounced into the air," one vendor who was working in her stall at the time told Rossiya 24 television. "I immediately knew there was an explosion. People started shouting and crying. I looked out and saw a boy blown away by the blast wave. People were running all over the place."
Russian President Vladimir Putin has ordered law-enforcement agencies to take all necessary measures to ensure security in the wake of the attack.
Russia has been battling an insurgency in the North Caucasus for decades, with major attacks in the past ascribed to Chechens and other pro-independence militants from the region.
Volgograd Mayor Irina Guseva said from the scene that authorities were rushing victims to the hospital and trying to reroute rail traffic Volgograd, which is a regional administrative hub.
"We will not allow panic to set in the city," Guseva said in a live interview from the scene shortly after the blast. "The city continues to live its own life. The situation, of course, is difficult since there are children among the injured. They have also been taken to a hospital."
Regional Governor Sergei Bozhenov added that "there is no panic among the population."
He said a three-day period of mourning would be observed on January 1-3.
"According to the available information, the explosion was detonated by a female suicide bomber," Russian Investigative Committee spokesman Vladimir Markin said. "As she was approaching metal detectors [at the entrance to the railway station] she noticed a police officer nearby, panicked, and detonated the explosive device packed with shrapnel. Preliminarily, the capacity of the explosive device has been estimated at no less than 10 kilograms of TNT."
A female suicide bomber from Daghestani was identified as the perpetrator of an attack on a passenger bus two months ago in the same Russian city. That bombing killed seven people.
If the latest incident is found to have been planned by insurgents from southern Russia, it is likely to boost fears that Islamist militants could make good on their threats to target the Sochi Olympics, which are scheduled for February 7-23.
The games, Russia's first since Moscow hosted the 1980 Summer Olympics that were boycotted by the United States, are regarded as a prestige project for President Vladimir Putin.
Fugitive self-styled Caucasus Emirate leader Doku Umarov last summer ended a yearlong moratorium on attacks against civilian targets and called on the insurgency to prevent the holding of the Sochi Winter Games
Putin signed highly punitive legislation in early November aimed at quelling the North Caucasus insurgency, requiring "close relatives and acquaintances" of those who commit acts of "terrorism" to pay damages -- both material and moral -- resulting from those acts.
The highly contentious law also grants authorities the right to seize property from friends and relatives of suspected militants and provides for prison sentences of up to 10 years for those convicted of receiving training "aimed at carrying out terrorist activity."
Volgograd is a city of around 1 million people, is the regional administrative center, and lies around 700 kilometers from Sochi.
On December 27, a car bomb killed three people in the southern Russian city of Pyatigorsk.
Earlier this year, Putin questioned the work of the country's law-enforcement agencies and ordered them to boost efforts to bring security to republics such as Chechnya, Daghestan, Ingushetia, and Kabardino-Balkariya in the North Caucasus.