Kazem al-Khafaji, an Iraqi police lieutenant, said the attack was carried out by two women who were standing 50 yards apart.
He said that the second bomber detonated her belt five minutes after the first attack.
At least one policeman was killed and three were wounded in the attack in a volatile, religiously mixed area once known to US troops as the "triangle of death". More than half of those killed were women, police said.
The Shia pilgrims killed were among thousands of Muslims who have begun travelling towards Karbala, a city in southern Iraq where pilgrims commemorate the birth of the 12th Imam, a Messiah-like figure revered by Shia Muslims.
In another incident, a roadside bomb killed at least two pilgrims and wounded seven more as they walked through Karrada, a central Baghdad's neighbourhood, embarking on the pilgrimage.
The US and Iraqi authorities said al-Qaeda Sunni Arab fighters had increasingly relied on women to carry out suicide attacks, as they can more easily evade security searches.