Emergency services were called shortly before 2pm on Tuesday, before the teenager was taken to hospital, where he later died.
Scotland Yard said no arrests had been made and they were continuing their investigations at the scene in Edgware Road, near the junction with Church Street in Westminster.
Edgware Road stabbing: Boy, 17, dies after broad daylight attack
Detective Chief Inspector Andy Partridge from the Metropolitan Polices Specialist Crime Command said the attack took place near a college where "many young people would have been on their break".
Westminster stabbing: Murder investigation launched after teenager killed in broad daylight
Mr Partridge added: "This awful attack took place in broad daylight in a busy part of central London.
"A teenager with his whole life ahead of him has been taken away from his family who have been left heartbroken.
"We need them to do the right thing and get in touch right away with what they saw, along with any images or moving footage captured before, during or after the attack."
Anyone with information about the killing is asked to contact police on 101 quoting CAD 3755/10Sept or to call Crimestoppers anonymously on 0800 555 111.
Emergency responders found the teen with multiple stab injuries and rushed him to hospital where he later died