Witnesses staying at a hotel four blocks away said they could feel the building shake with the blast.
Police blocked off the area to investigate the explosion.
New York Mayor Michael Bloomberg said at a news conference that the act was deliberately directed at the recruiting station.
"Whoever the coward was that committed this disgraceful act on our city will be found and prosecuted to the full extent of the law. We will not tolerate such attacks, nor will we let them destroy our freedom to live peacefully and safely in the greatest city of the world."
Thursday's explosion was similar to two other early-morning blasts in New York, one near the Mexican consulate in last October and the other at the British consulate in 2005, but authorities have refrained from linking the latest incident to those two.