Friday's early morning explosion, thought to have been set off by a suicidal mission, ripped through the first-floor ticket hall of the station.
One person was killed on the spot and another died in the hospital, the official Xinhua news agency said.
Xinhua quoted police sources as saying the blast was "possibly a suicide bombing." It did not elaborate.
The blast on the second day of the Chinese Lunar New Year came two days after Prime Minister Wen Jiabao visited railway employees in the city.
Zhengzhou is the main stop on the important Beijing-Guangzhou railway line.
On Thursday, the prime minister visited railway employees promoting rail as an efficient means of transporting goods.