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The first modern police force in the United States was the Philadelphia Police Department, and according to the Officer Down Memorial page, the first PPD officer killed in the line of duty was Watchman Steven Heimer, shot at the beginning of a riot on January 8, 1828.
Of course, police are not the only law enforcement in the U.S.β there were sheriffs and watchmen going back to early colonial times. The ODMP lists Constable Darius Quimby of the Albany County (New York) Constable's Office, shot while making an arrest on January 3, 1791, as the first law enforcement officer killed in the line of duty in the United States.