Stockholm County Police said a 60-year-old man had been hurt after picking an object off the ground.
It then exploded and injured him "seriously". He has been taken to hospital.
A 45-year-old woman was also injured in the blast.
According to the Aftonbladet newspaper, the item was a hand grenade, but that has not been confirmed.
A police spokesman said there was no reason to believe it was terrorism-related.
The Varby Gard station, on the Red Line in southwest Stockholm, has been closed off for investigation.
