The woman was among several pedestrians struck by a car on Westminster bridge, before it crashed into railings.
An officer was stabbed in the Houses of Parliament by an attacker, who was shot by police.
There was no immediate claim of responsibility and it was not clear if there was more than one attacker.
Police said there were "a number of casualties" and a "full counter-terrorism inquiry" was under way.
Some of those injured were French high school students, France's prime minister said.
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"Although we remain open minded to the motive, a full counter terrorism investigation is already underway - this is led by the Met's Counter Terrorism Command. We know that there are a number of causalities, including police officers, but at this stage we cannot confirm numbers or the nature of these injuries," he said.
He called on the public to "remain vigilant" andsaid a review of policing strategy across the city was underway, with additional police officers being deployed across London.
The incident unfolded this afternoon as a man tried to gain entry into the British Parliament via the main entrance and stabbed a police officer.
Plainclothes armed officers shouted warnings at him before shooting a number of rounds.
He was later seen being covered by blankets, presumed dead.
UK Foreign Office minister Tobias Ellwood administered mouth-to-mouth resuscitation to the stabbed police officer but said he "died at the scene".
In a related incident, a speedinggrey Hyundai i40mowed down several pedestrians on Westminster Bridge nearby before ramming into the iron railings of the side of the House of Commons building.
One injured woman was seen being rescued from the river Thames by emergency services.
Junior doctor Colleen Anderson from the hospital confirmed the death of the woman and said a number of other people were hurt - some with "catastrophic" injuries.
"There were people across the bridge.
There were some with minor injuries, some catastrophic.
Some had injuries they could walk away from or who have life-changing injuries.
There were maybe a dozen [injured]," she said.