MOSCOW—A suicide attacker detonated a bomb at the crowded entrance to the central train station in Volgograd on Sunday, killing at least 16 people, officials said, raising security fears less than two months before the Winter Olympics in Sochi begin.

Russia's Investigative Committee said preliminary indications suggested a suicide bomber detonated the explosive just outside the security checkpoint at the entrance to the train station, which was busy with holiday travelers around 12:45 p.m. local time. Surveillance-camera video...