The woman, who was 38, died after suffering several stab wounds in the short-stay car park at Birmingham New Street station.
Her son, aged two and a half, was discovered later in the back of a car which was parked nearby.
The cause of his death has not been confirmed, but it is understood he also had stab wounds.
A man from Bristol, also 38, who is the former partner of the dead woman, was taken to Birmingham's Dudley Road City Hospital with cut wrists. Police said he was later arrested.
Later, in Bristol, the bodies of three sisters aged nine, 11 and 14, were discovered in a first-floor bedroom of a terraced house in the Montpelier district of the city.
Police are not releasing the names of the victims, but they believe the deaths may be related to the Birmingham incident. It is understood all the girls had stab wounds.
Police broke into the flat after information was given to them by West Midlands police.
The Birmingham attacks were believed to have been discovered when a probationary British Transport Police officer walked into a dispute between the adults as she left a nearby platform.
She found the woman, from Edgbaston, collapsed on the ground and travelled in the ambulance to Selly Oak hospital with the mother's body after a failed attempt to revive her. A kitchen knife was recovered from the scene.
A post-mortem examination was being carried out last night on the woman.
Lynne Jones, MP for Birmingham Selly Oak and a former member of Birmingham's Police Authority, said: "I feel shocked that these kind of incidents are now commonplace on our streets.
"This will add to the insecurity that people feel here.
"We have to worry about what is happening to our families.
"It is families who suffer from these crimes. People do not feel safe."Reuse content