Police were called to St Mary Street in the city centre just before 5am on Sunday after reports of an assault.
The victim has not been formally identified but is reportedly a 21-year-old from the city.
Detective Superintendent Richard Jones said: “A young man has tragically lost his life early this morning and we are doing all we can to identify the person responsible.
“CCTV shows a disturbance which starts in the street near McDonald’s and moves towards the Oxfam store where the victim has collapsed having sustained a wound as a result of being stabbed.
“Significant police inquiries are continuing in the area and we thank the local community, including businesses and visitors, for its understanding while a number of cordons remain in place.”
Witnesses said the suspect headed in the direction of Wood Street, and then towards Penarth Road at the rear of Cardiff Central railway station.
:: Anyone with information can call 101 and quote reference number 1900265784.