Found in a bag on a platform during a routine check, the significant haul came less than a week after two car bomb explosions killed 52 people in the western Indian city of Mumbai.
"It was an unclaimed bag and contained about 150 gelatin sticks weighing about 21 kg," the spokesman said.
New Delhi's railway station is one of the country's busiest, handling thousands of passengers every day.
Bomb disposal sqauds were called in to deal with the explosives. The police are investigating their origins.
New Delhi has been on high alert since two car bombs exploded in India's financial capital of Mumbai on Monday last.
Though investigations into the twin blasts are on, Indian deputy Prime Minister, L K Advani has pointed out a banned Muslim students group, the Students Islamic Movement of India (SIMI), as the prime suspect.
The blasts in Mumbai and a fresh spurt of violence in Indian-administered Kashmir have cast a shadow on already tenuous ties between India and Pakistan.
Despite a a recent thaw in relations, Prime Minister Atal Behari Vajpayee said on Friday that India would not talk to Pakistan unless violence ended in Kashmir.
India accuses Pakistan of aiding Kashmiri fighters in their separatist struggle, that has claimed more than 70,000 lives since the early 1990s according to indigenous sources.
Pakistan says it only extends moral support to the Kashmiri fighters.