According to Le Parisien, the victims were killed by two men at Noyon station in Oise, northern France.
Victims included two youngsters aged just three and five, their mother and a family friend.
It is thought the group were trying to leave the city when the attack happened.
After the shooting, one of the attackers killed himself while his accomplice fled on foot, it was claimed.
The station is currently on lockdown by armed police.
This story is being updated.