In a video address to the United Nations Security Council, Zelensky said the rockets had hit the train in the small town of Chaplyne, about 145km west of Donetsk. Four carriages were on fire, he said.
Ukraine marked its Independence Day on Wednesday and Zelensky had warned ahead of time that Russia might try to disrupt the celebrations.
"Four passenger wagons are now on fire. As of now, at least 15 people have been killed and around 50 people have been wounded," Zelensky said.
"Rescuers are working but, unfortunately, the death toll could increase."
Russia has repeatedly denied its forces are aiming at civilian targets. In April, at least 57 people died when Russian missiles hit the train station in the town of Kramatorsk, Ukrainian official said. Read full story
(Reporting by David Ljunggren; Editing by Chris Reese and Sandra Maler.)

President of Ukraine Volodymyr Zelensky. (Photo: Supplied)