Police were called to an address in Prince Edward Avenue at about 03:00 BST on Sunday.
A 37-year-old man, from Manchester, was taken to Ysbyty Glan Clwyd, Bodelwyddan, Denbighshire, with stab wounds but later died.
North Wales Police said three other men were being treated in hospital for non-life threatening injuries.
Officers have arrested a 43-year-old man, from Rhyl, along with four boys; two aged 16, one 15 and one 17.
Five men from outside the north Wales area have also been arrested on suspicion of affray and wounding.
The road was cordoned off for forensic investigators to work at the site.
Supt Sian Beck said an investigation was under way, adding: "I would like to reassure the public not to be alarmed by the increased police activity in Rhyl as we carry out our investigations.
"There will also be extra reassurance patrols in the area.
"I am appealing for anyone who may have information which could assist our investigation to come forward."
A man and four teenagers have been arrested on suspicion of murder following a fatal stabbing in Rhyl.