The explosion happened around 7 p.m. at the exit of the Urumqi south railway station. The blast was centred around some luggage left on the ground between the station exit and a public bus stop, witnesses told Xinhua.
The blast was so powerful that a man at a nearby hotel said he thought it was an earthquake.
Police have cordoned off all entrances to the station square and armed police have been deployed. As of 8.30 p.m, the square was still closed. Train services have been suspended. The number of casualties remains unclear.
The station is one of the three in the city, and the largest in Xinjiang.
Xinjiang intercity railway lines linking Urumqi with Kuytun, Shihezi, and Karamay cities are expected to start operations in the station Thursday.