The 69-year-old Tory was killed while meeting with his constituents on Friday at Belfairs Methodist Church in Leigh-on-Sea.
Police have arrested a 25-year-old on suspicion of murder.
The agency’s Counter Terrorism Command will lead the investigation into the stabbing, with assistance from the Eastern Region Specialist Operations Unit and the Essex Police. Police are currently searching multiple addresses in the London area as part of the investigation.
Sir David, a father of five, is the second sitting MP killed in the last five years. In 2016, a neo-Nazi attacked Labour MP Jo Cox outside a constituency surgery in Birstall, West Yorkshire. Six years earlier, an extremist non-fatally stabbed Labour’s Stephen Timms.
Tributes have poured in for the MP.
“All our hearts are full of shock and sadness today,” Boris Johnson said, calling Sir David “one of the kindest, nicest, most gentle people in politics.”
London mayor Sadiq Khan, meanwhile, called him a “great public servant” who “loved being an MP,” and said his “thoughts and prayers, and those of all Londoners, are with David’s loved ones at this time of unimaginable grief.”
Following Friday’s horrific attack, home secretary Priti Patel has asked all police forces to review their security protocols for MPs “with immediate effect.”
A vigil was held at St Peter’s Church in Leigh-on-Sea at 6pm on Friday night, where Father Jeffrey Woolnough gave thanks for the MP’s life.
The church fell silent as Sir David was remembered by his constituents, and the priest said: “We don’t have the words tonight. Dear Sir David, rest well.”
Sir David is survived by his wife and five children.
The MP was a long-serving member of the House of Commons, known for his criticism of the European Union and his animal welfare advocacy.
Members of the public are being asked to call police in confidence on 0800 789 321, and submit any relevant photos or videos they may possess to this link.
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