The bomber detonated her explosives in front of a metal detector just inside the main entrance of Volgograd station.
Last night it was reported that security sources were naming the attacker as Oksana Aslanova. She has reportedly been married twice to militants.
Reports said the bomber's head had been found at the site, which would lead to swift identification.
Images caught by a security camera showed the moment of explosion: a bright orange flash inside the station behind the main gate followed by plumes of smoke.
"We heard a loud bang from behind, saw a bright flash and fell on the floor," said local resident Svetlana Demchenko.
After the blast, motionless bodies lay on the pavement outside the station and a string of ambulances arrived.
"People were lying on the ground, screaming and calling for help," said Alexander Koblyakov.
"I helped carry out a police officer whose head and face were covered in blood. He couldn't speak."
Health Ministry spokesman Oleg Salagai said 42 people were wounded and that some would be flown to Moscow for treatment.
Mr Markin said security controls prevented more casualties at the station, which was packed with people going home for the new year holiday. Crowds also built up after several trains were delayed.
Officials initially said the bomber had blown herself up after a police officer started to approach her because she looked suspicious.
"When the suicide bomber saw a policeman near a metal detector, she became nervous and set off her explosive device," Mr Markin said. He added that the bomb contained about 22lbs of TNT and was rigged with shrapnel.
Vladimir Putin's spokesman last night said the Russian president had ordered security precautions to be beefed up, and federal police said there would be more officers on duty and stricter checks at stations and airports.
But the attack, two months after a female suicide bomber killed six people on a Volgograd bus, raised questions about the effectiveness of security measures.
It will add to concerns about the government's ability to safeguard the 2014 Winter Olympics in the Black Sea resort of Sochi. The Games, which open in 40 days' time, are a prestige project for Putin.
There was no immediate claim of responsibility for the attack. Female suicide bombers - known as "black widows" because some have been related to dead Islamist insurgents - have carried out several attacks in Russia.
Volgograd is close to Russia's restive North Caucasus region of mostly Muslim provinces including Chechnya, where Russia has fought two wars against separatists in the last 20 years.
The region is beset by near-daily violence. A law enforcement source was quoted as saying the attacker may have come from Dagestan, the province next to Chechnya that is now the centre of the insurgency.
The October bus bomber was from the same region.
Volgograd is a city of a million people, and a major transport hub in southern Russia, 430 miles northeast of Sochi, where the Olympics open on February 7.
Insurgent leader Doku Umarov, a Chechen warlord, urged militants in a video posted online in July to use "maximum force" to prevent Putin staging the Olympics.
On Friday, a car bomb killed three people in Pyatigorsk, 170 miles east of Sochi.
"We can expect more such attacks," said Alexei Filatov, deputy head of the veterans' association of the elite Alfa anti-terrorism unit. "The security measures were increased long ago around Sochi, so terrorists will strike instead in these nearby cities like Volgograd."