Holder said Shahzad had provided valuable information, but the attorney general would not elaborate.
One law enforcement official said Shahzad told the FBI he trained in Pakistan. A second said the training was believed to be in the lawless tribal region of Waziristan, where the Pakistani Taliban operates with near impunity.
Both officials spoke on condition of anonymity to discuss the sensitive continuing investigation.
The Pakistani Taliban has taken credit for the bomb plot, but U.S. officials say there is no evidence to back that up. The report of training raises the possibility the attack was a coordinated international effort, but authorities have not said whether they believe that to be the case.