The blast on Tuesday follows a series of similar attacks over the past year, including near simultaneous plane crashes exactly a week ago, all of them linked by officials to Chechen fighters seeking independence from Russia.
Moscow Mayor Yuri Luzhkov said the woman had tried to enter the Riga metro station, that would have been crowded towards the end of the evening rush hour.
"She ... was at the door when she saw two policemen. She was scared and turned and decided to destroy herself," Luzhkov said.
Besides the fatalities, 11 women
and four children were wounded
"Up to 1kg of explosive was used," Luzhkov said at the scene. "This is an unusual amount of explosive for a woman suicide bomber. There was a desire to cause maximum damage."
He said four children and 11 women were among the injured. Seven people died immediately in the blast, including the bomber.
Police earlier said the bomb had been packed with metal bolts.
Local television channels broke into their evening programmes to show footage of a blazing car parked between a large shopping centre and the entrance to the metro station, with several bodies lying on the pavement.
The explosion came on the last day of the summer school holidays when parents and their children were certain to be doing last-minute pre-school shopping.
"There was one man without a stomach shouting 'where are
"It was like a big thunderclap. I was just coming out of the shop. There was one explosion, then another small one, probably from gas," Alexei Borodin, 29, said.
"I saw five people who could not stand up. And there were other people who were in small bits. There was one man without a stomach shouting 'where are the police?'"
Exactly a week before, 90 people died when two Russian planes crashed almost simultaneously in what officials believe was the work of human bombers.
Following the bombing, security was boosted further in Moscow.
"Police personnel have been ordered to increase their vigilance and to pay special attention to suspicious persons and activities," a spokesman for the municipal security service told the Itar-Tass news agency.
Security patrols including the use of bomb-sniffing dogs were being enhanced at train stations, subway stations and airports and a temporary field office was set up at the site of Tuesday's blast to coordinate the initial investigation.