The Munich fire brigade said one of the people was seriously injured.
The explosion happened as the site was being drilled to build a tunnel, according to local police.
Explosives experts were summoned to the site to examine the remains of the bomb.
Due to the blast, rail travel to and from the main train station was suspended, according to rail operator Deutsche Bahn. It was not clear when rail traffic would resume.
Bavarian State Interior Minister Joachim Herrmann was called to the scene.
World War Two bombs are regularly discovered during construction work in Germany and are usually defused by experts or destroyed in controlled explosions.