According to cops, Belgian soldiers shot dead the suspected bomber - who is believed to be a 34-year-old Moroccan from Molenbeek.
Federal prosecutor Eric Van der Sypt said authorities are treating the incident "as a terrorist attack" that was foiled when the suspect was "neutralized".
Police later raided the man's home in Molenbeek, home to some of the jihadists involved in the Paris and Brussels attacks.
The Belgian government is determined to "face a terrorist situation in Europe and not only in Belgium head on, and not to let ourselves be intimidated", Belgian Prime Minister Charles Michel told reporters after convening his security advisers.
Security will be particularly beefed up at the 50,000-seat King Baudouin Stadium in Brussels, where British rock band Coldplay is scheduled perform later on Wednesday.
The city has been on high alert for more than 18 months since Brussels-based Islamic State militants carried out attacks in Paris that killed 130 people in November 2015.
UKIP MEP David Coburn, who was in the vicinity of the railway station as the incident took place, said he saw people running away "with look of terror on their faces".More news: Florida's Singer hums along in 5-1 CWS win over Louisville
He was not known to the police for terrorism-related activities, Van Der Sypt said. Meanwhile, the bag exploded a second time more violently.
"About 8.30 pm there was a small explosion at the central station here in Brussels".
The train station has reopened after closing Tuesday night in the aftermath of the incident.
According to the Belgian newspaper La Libre, the man detonated a device after he attracted the attention of soldiers who were patrolling the station.
The man was shot by soldiers after detonating a small device there late Tuesday in what prosecutors are treating as a "terrorist attack".
The country's terror level remains at three, signifying a serious and likely threat.
But in a possible measure of security concerns, police closed several streets midday Wednesday around Antwerp's central train station, and a large-scale search appeared to be underway, Belgian media reported. "Panic at Central Station".
"The bang was very loud, it was like a very big firework that just went up in front of my nose", he said. It said that no public events would be canceled but that additional police and troops have been mobilized.