Police were called to Olympic Way in Wembley Park to reports of a stabbing around 11pm, and found a man in his mid-twenties with stab wounds.
Despite officers and paramedics carrying out CPR at the scene, the victim later died in hospital.
Officers said on Monday they believed the victim had been chased and attacked by a gang before the killing.
Olympic Way where the stabbing took place- often known to football fans as Wembley Way - is the famous walkway for sports fans between Wembley Park Tube station and Wembley Stadium.
Detective Chief Inspector Mark Rogers said: "My team are working at pace to establish what has led to this tragic incident, and as we continue to carry out numerous inquiries to trace and speak to witnesses, as well as analysing CCTV footage, we are appealing to the public to help us.
“We understand the victim was chased and attacked by a group of suspects.
“Were you in the area at the time? Did you see anything suspicious?
“Any detail – no matter how small – could assist us with our investigation so please do come forward and speak to police.”
A crime scene remains in place and there have been no arrests.
The victim’s next of kin have been informed. A post-mortem will take place later.
Chief Superintendent Dan Knowles, who is in charge of policing in Brent, said enhanced patrols would be in place after the killing.
“My thoughts, and those of all my officers, are with the family and friends of this young man who has very tragically lost his life far too soon,” he said.
“I know that this incident will raise serious concern and worry in the community, and want to assure all those affected that our colleagues from the Specialist Crime Command are working tirelessly to find those responsible, and local officers are assisting them in every way possible.”
Anyone with information is being asked to call the incident room on 0208 345 3715 or 101 - quoting CAD7764/24Sep.