A male victim, who was also stabbed by the female suspect, is in critical condition, police said.
Police said a woman who appeared to be emotionally disturbed was threatening people with two knives and stabbed the man and woman near 42nd and Seventh Avenue around 4:26 p.m.
Then the woman fled north toward the NYPD substation where police confronted her, police said.
Police say the woman refused to put the knives down when police approached her.
Police fired shots at 4:27 p.m. striking the female suspect, police said.
The incident was initially reported as a knifepoint robbery but police now believe the emotionally disturbed person had no clear motive, police said.
Police are closing traffic from West 42nd street to West 47th Street as the investigation continues.