The incident happened at the Cos Cob station in Greenwich around 9:30 a.m.
The New Haven Express train hit the 28-year-old woman as it went through the station.
Witnesses told officials that the victim had dropped her wallet and went onto the tracks to retrieve it. Her identity is not being released at this time.
Passengers who were headed from Grand Central Terminal in New York to New Haven were transferred to another train.
The New Haven line as well as the New Canaan and Waterbury branches were experiencing delays of up to 30 minutes as a result.
The investigation is ongoing.