The city once bore the name Stalingrad in honor of Soviet dictator Josef Stalin, a figure held in opprobrium by many in the North Caucasus.
In the 1940s, Stalin ordered the deportation of tens of thousands of people from the region, including Chechens, to Central Asia on suspicion of harboring sympathies for Nazi Germany. Many thousands died in exile and transport.
The federal Investigative Committee and other officials initially said a female suicide bomber had blown herself up after a police officer started to approach her near the metal detector because she looked suspicious.
A Russian website with ties to security agencies, Life News, posted a picture of what it said was the suspect's head.
It said authorities had identified her as a resident of Dagestan, the province adjacent to Chechnya and now the centre of a long-running Islamist insurgency, and the widow of two militants who were both killed by Russian security forces.
Investigative Committee spokesman Vladimir Markin later said a man could have set off the blast, Russian news agencies reported.
Interfax cited law enforcement sources as saying authorities believed the attacker was a man who brought a bomb into the station with a rucksack. Some bombs carried by female suicide bombers have been set off remotely by male accomplices.
So-called 'black widows', seeking to avenge fallen husbands, were involved in a deadly Moscow theatre siege in 2002 and have been behind several bombings including twin suicide attacks that killed 40 on the Moscow subway in 2010.
"We can expect more such attacks," said Alexei Filatov, deputy head of the veterans' association of the elite Alfa anti-terrorism unit.
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"The threat is greatest now because it is when terrorists can make the biggest impression," he told Reuters. "The security measures were beefed up long ago around Sochi, so terrorists will strike instead in these nearby cities like Volgograd."
The insurgency is rooted in two post-Soviet separatist wars in Chechnya, the second of which was launched by Putin as Prime Minister and succeeded in driving separatists from power.
Markin said 16 people were killed in the attack, including two who died in hospital. A regional government official also put the toll at 16 and said that did not include the attacker.
Putin ordered law enforcement agencies to take all necessary precautions to ensure security, his spokesman said. Police said security would be tightened at stations and airports, with more officers on duty and stricter passenger checks.
U.N. Secretary-General Ban Ki-moon and the U.N. Security Council both condemned the attack on Sunday and called for the perpetrators to be brought to justice.
The attack, just over two months after a female suicide bomber killed six people on a bus in the same city, raised questions about the effectiveness of security measures which the Kremlin routinely orders increased after bombings.