The two men were identified as members of a banned militant group Lashkar-e-Taiba, deputy commissioner of Delhi police Alok Kumar told AFP.
Kumar said the Bangladeshi nationals, Mohammed Aslam Gir and Abdul Razaq, were carrying 1.5 kilograms (3.3 pounds) of RDX high-grade explosives -- the type used in a string of previous attacks in India.
"They boarded the train in occupied Jammu and were arrested when they got off in Delhi early this morning," Kumar said.
"We made the arrest based on an intelligence tip-off. We are in the process of interrogating them and then we will get more details."
A Delhi police spokesman said security was beefed up in the capital ahead of Diwali, with extra officers stationed at sensitive locations and more patrols throughout the city.
"We have an increase in security around this time of the year, especially at places where we expect crowds of people -- in markets, shopping malls and cinema halls," the spokesman said. "This is just a precautionary measure."

Copyright AFP (Agence France-Presse), 2006