Police said in a statement that armed herdsmen had attacked Tom Ikimi station at 1500 GMT as passengers awaited a train to Warri, an oil hub in nearby Delta state. The station is some 111 km northeast of state capital Benin City and close to the border with Anambra state.
Edo state information commissioner Chris Osa Nehikhare said the kidnappers had taken 32 people, though one had already escaped.
"At the moment, security personnel made up of the military and the police as well as men of the vigilante network and hunters are intensifying search and rescue operations in a reasonable radius to rescue the kidnap victims," he said. "We are confident that the other victims will be rescued in the coming hours."
Some people at the station were shot in the attack, police said.
The Nigerian Railway Corporation (NRC) had closed the station until further notice and the federal transportation ministry called the kidnappings "utterly barbaric".
The NRC last month reopened a rail service linking the capital Abuja with northern Kaduna state, months after gunmen blew up the tracks, kidnapped dozens of passengers and killed six people.
The last hostage taken in that March attack was not freed until October.
Insecurity is rampant across Nigeria, with Islamist insurgencies in the northeast, banditry in the northwest, separatists in the southeast and farmer-herdsmen clashes in the central states.