This is the most serious terrorist attack on London since the 7/7 bombings in 2005.
The police reacted extremely quickly, ending this attack before any more people were hurt. A friend of mine actually gave first aid to the stabbed policeman before the helicopter arrived.
This is very rare, although the Government has been warning for some time to expect something like this. The chances of any of you, as an individual, getting caught up in a terrorist attack are microscopically small.
If you are worried about anything you see in the news, there's help and advice here.
The BBC's Security Correspondent Frank Gardner has been talking to Newsround about the serious incident at Westminster in London on Wednesday.