Theresa May was "just 40 yards away" from the scene of the alleged terror attack shortly after it began.
The Prime Minister had remained on the parliamentary estate following Prime Minister's Questions.
At about 2.45pm, witnesses saw Ms May being led to a silver Jaguar, as what sounded like gunfire could be heard.
The car appeared to be about to leave when police officers prevented it from driving into New Palace Yard, where the attack had taken place moments before.
A convoy of vehicles – thought to include a car with Ms May inside – was later seen driving along Millbank away from the Commons.
Downing Street confirmed Ms May was "okay" with a spokesperson saying she would chair a meeting of the Government's emergency Cobra committee.
Andrew Bridgen, the Conservative MP, said Ms May had been escorted from the Commons' chamber by "the biggest plain clothes policeman I've ever seen" as the attack began.
Police have said they are treating the incident as terror-related. In addition to the stabbing of a police officer, several pedestrians were hit by a car on Westminster Bridge.
Four people died with a number of others hurt, including some said to have been "catastrophically injured".
