Belgian authorities have foiled a "terror attack" when soldiers shot and killed a suspect after a small explosion at Brussels train station, officials said.

Federal prosecutor Eric Van der Sypt said soldiers "neutralised" a male suspect at the Central Station immediately after the explosion on Tuesday night.

Prosecutor's spokeswoman Ine Van Wymersch confirmed the death and said no other explosives were found on his body.

Some Belgian media had reported earlier that the suspect was wearing a bomb belt.

A photo taken inside the station showed flames.

Van der Sypt said no one else was injured in the explosion that took place at 8.30pm.

Authorities set up a wide perimeter around the station, located near the city's famed Grand Place square.

Nicolas Van Herreweghen, who works for Belgium's national rail company, said the male suspect was very agitated, yelling about jihadists and then "Allahu akbar," Arabic for "God is great," before blowing up something on a baggage trolley.

He said the man appeared to be 30 to 35 years of age.

People have been evacuated from the area Credit: AP

The government agency that owns Belgium's railways was warned by a train driver who saw people running across the rail lines inside the station, spokesman Arnaud Reymann told broadcaster RTL.

Belgium has been on high alert since suicide bombers killed 32 people on the Brussels subway and at an airport on March 22, 2016.