The blast happened at the Varby Gard metro station in the southern district of Stockholm at 11:07am local time (10:07am).
A 60-year-old man picked up an object from the ground which then exploded, according to police.
Unconfirmed reports suggest it may have been a hand grenade.
He was rushed to hospital along with a 45-year-old woman but later died from his injuries.
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Cops have now cordoned off the station and the surrounding area.
A bomb squad also arrived at the scene to analyse evidence and look for additional explosives.
Police spokesman Sven-Erik Olsson earlier said: “According to preliminary information, the man had picked up an object from the ground, which then exploded and caused serious injuries. He has been taken to hospital.”
Fire department spokesman Lars-Ake Stevelind added: “Someone has used explosives. We do not know more than that.”