The man sustained fatal injuries after he picked up an object, a police spokesman said. "The woman who was with the man was several meters behind him", police officer Lars Alvarsjo told Swedish Television.
Numerous illegal hand grenades found in Sweden are being imported from former Yugoslav nations, he said.
According to Alvarsjo, hand grenades are increasingly used by criminal networks in Sweden.
"The man was seriously injured after he picked up something from the ground and this device exploded", Mr Olsson said.
But police haven't confirmed the exact nature of the explosive device.
A 45-year-old woman was also hospitalized, but her condition is unknown.
Police cordoned off the station and the square where the blast happened as the bomb squad moved in to investigate.
"It is too early to say".
The explosion occurred late on Sunday morning at the Varby Gard station, in Stockholm's south-west.
Authorities said they did not think the blast was related to a terrorist attack.
The explosion took place outside of the Varby gard station in Huddinge, a southern suburb of the Swedish capital.