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After the knifeman was subdued, the police officer and the two other stab victims were rushed by ambulance to Luton and Dunstable Hospital.
One of the victims, aged 55 and believed to be a window cleaner, was said to be in a serious but stable condition after reportedly being stabbed in the neck, the other man was less seriously injured.
PC Henry was pronounced dead soon after arriving at hospital. Police said a man had been arrested at the scene on suspicion of murder.
Detective Superintendent Garwood said the officer had attended the initial stabbing incident in a marked police car, and was with a number of colleagues when he was attacked.
One local shop worker, who would not be named, said: "I work round here and my customers have told me that a window cleaner was stabbed by a man, who then stabbed a person who went to help the injured man.
"The town centre was cordoned off early this morning and they were stopping people coming into George Street."
Today, scores of police officers had closed off large sections of Luton town centre close to the town hall and war memorial, while on the street where the three men were stabbed a baton and a Taser cartridge could be seen.
John Reid, the Home Secretary, sent his condolences to PC Henry’s friends, family, and colleagues during the fortnightly Home Office Questions session in the House of Commons.
"I am deeply saddened to report the death to the House today of PC Jonathan Henry while on duty in Luton with Bedfordshire Police," he said.
"Tragic events like this death highlight the dangers that police officers face day-to-day in their task of protecting the public."
A total of 36 police officers have been murdered in the line of duty in England, Scotland and Wales in the last two decades.
The most recent was Constable Richard Gray, a 43-year-old armed response officer, who died on Sunday, May 6, as he attempted to rescue two officers held at gunpoint after a domestic incident in Shrewsbury.
In 2005 PC Joe Carroll, 46, of Northumbria Police, was killed after a man he was taking to a police station caused the car, in which they were travelling to crash by grabbing the handbrake.
Also in that year, PC Sharon Beshenivsky was shot dead as she attended a robbery scene in broad daylight in Bradford city centre.
The last officer to be stabbed to death was Detective Constable Michael Swindells, of Burton-on-Trent, Staffordshire. He died after being knifed in the heart by a paranoid schizophrenic on a canal towpath in the Nechells area of Birmingham in May 2004.
Two years beforehand, PC Ian Broadhurst died after being shot when he stopped a motorist in Leeds on Boxing Day. In the same year, PC Stephen Oake was stabbed to death during an anti-terror raid at Manchester.
PC Malcolm Walker was killed after being rammed off his police motorbike in Birmingham in 2001.
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