The accident took place in the southeastern Ukrainian region of Zaporizhia early on Saturday.
"Returning from our friends', my girlfriend and I could not overcome our passionate nature and wanted to feel a sense of thrill near a railway track," a police statement quoted the 41-year-old man as saying.
A police spokesman separately said on Sunday that the pair was believed to have been drunk.
The woman died on the spot while the man was hospitalised with his legs torn off below the knee.
Police did not release the names of the victims, saying it had opened a criminal probe over the safety violation.