Soldiers and police took up positions outside the station.
Reuters news agency reported quoting a police source that the victims suffered gory injuries: one victim's throat was slit while the other was stabbed in the stomach.
While Isis has claimed the attacker is "a soldier" of the terror group, authorities are still working to determine whether the attacker had links to Islamic extremism.
The man then tried to attack soldiers patrolling the site, but they shot him dead with two bullets.
The country has been in a state of emergency since the November 2015 terror attacks in which 130 people were slaughtered.
In Nice in July 2016, 86 people were killed when a militant drove a truck into crowds after a fireworks display on Bastille Day.
Man shot by army after stabbing someone at Marseille train station
The attacks aren't "proof that ISIS is more potent - it's pretty impotent", he said.
A terrorist stabbed two women to death at the Marseille train station late Sunday afternoon, shouting "Allahu Akbar!".
Collomb said at a news conference that the attacker first stabbed a woman in the square of the train station, then began to run away but attacked a second person beforehand.
"At the moment, we believe this is an individual who acted alone, although the investigation is in its early stages", said Edmonton police chief Rod Knecht.
France is still on high alert as sporadic attacks happen across the country by Daesh operatives or people expressing loyalty to the terrorist group. At that moment, he was shot by the soldiers, said Collomb, who said officials would confirm whether the attack was terrorism following the investigation. A man wielding a knife attacked a soldier in a Paris metro station on 15 September.
French President Emmanuel Macron says he is "deeply outraged" by the "barbarous" incident, and also also paid tribute to the French soldiers assigned to domestic security - who the president said in a tweet responded with cool heads and efficiency.More news: Driving Saudi Society Forward