Episode 3x01 "The Weight of this Combination"
It wasn't actually until the beginning of season 3 when we learn about Helsinki:
There was an incident in 2006†. Helsinki.
Ferdinand gives Sarah mores specifics (thinking she's Rachel)
"The Helsinki girls were eradicated in 24 hours. 6 clones, 32 collateral."
† = In the comics these events took place in 2001. Given that the clones are established to be teenagers when Helsinki occurs, the 2006 previously stated in the show should now be considered effectively retconned. This has been addressed directly by The Hive:
Our props department was tasked with finding and recreating M.K.’s laptop from pre-Helsinki days—2001. We needed a laptop that would have been sold before September 2001, and that worked. Not a small ask, but they pulled it off.
Jump to the Helsinki comics, and we begin with a Finnish clone, Veera Suominen, discovering the names of two other clones: Niki Lintula and Ania Kaminska.
Veera locates Niki Lintula at her high school, and the two of them along with Niki's boyfriend Aleks then find Ania in an ICU at a hospital in Gdansk. She suffered a GSW in a failed attempt on her life by Helena.
While in the hospital, Ania divulges the name of a church to Veera and Niki. They go to the church, and we now have seven self-aware clones (five of whom were discovered by Ania) who have convened in Gdansk:
- Veera Suominen (tag 3MK29A) from Helsinki, Finland
- Niki Lintula (tag 836XK9) from Tapiola, Finland
- Justyna Buzek from Prague, Czech Republic
- Sofia Jensen from Odense, Denmark
- Katja Obinger from Würzburg, Germany
- Fay and
- Femke, twins from Amsterdam, The Netherlands
Veera is then captured and brought to a facility where we meet a ninth clone, Jade (tag C35FE1); and Helena returns to the hospital to finish what she started with Ania. Katja goes looking for Ania and discovers she's dead.
Meanwhile, Rachel (who met Veera several times in 1991 around the time of Leekie's fire) is keeping tabs on the eight remaining clones with the help of Ferdinand, Topside, and Dyad.
Veera and Jade escape the facility in which they are being held with the help of Niki and Aleks. The three of them discuss possible courses of action, and they decide it will be easiest for them to stay alive if they go public by holding a press release in Helsinki to reveal the cloning experiment(s) to the world. They let the others know of their plan, but only Sofia and Justyna respond.
Issue 4 of the Helsinki comics leaves us with Veera, Jade, Niki, and Justyna preparing to hold the press conference; and Ferdinand preparing to proceed with "The Helsinki Protocol."
Issue 5: Clones' "Helsinki" Stories
This section is an amalgamation of events depicted in Helsinki #5 and episode 4 of season 4, "From Instinct to Rational Control," presented in what I think is the most "fluent" order in which to recount events.
Note: I use "Veera" to refer to subject 3MK29A in the comics, and "MK" to refer to her in the show.
Drowned near Helsinki (Lakeland) by Ferdinand after leaving airport. This is also described in MK's newspaper clippings in the show, a translation of which can be found here
A 17-year old missing in Helsinki
HELSINKI – The Police is requesting help from the public in finding a 17-year-old girl; she went missing on September 11th in Helsinki. She was on her way from the Helsinki airport to Meilahti but never arrived at the destination. The name of the missing girl is Justyna Buzek...
Veera witnessed Jade get shot in the neck in Niki's school (Kuusi secondary) by one of Ferdinand's lackeys, who thought she was Veera, who Ferdinand had in fact given orders to be captured alive. At this point Veera's uncle Matti (her monitor) helps her escape the school by using an explosion as a diversion, and passing off Jade as Veera. Ferdinand then kills Matti, as the details of his story are impossible, though he still believes that Jade is Veera. He then goes off to find Niki.
Aleks, Niki's boyfriend, intentionally misses a turn while driving Niki home — revealing he is her monitor and ultimately resulting in a car crash which kills him. Niki, having survived the crash, meets up with our recently-escaped Veera. They go to talk to Niki's parents, only to find them unconscious. Veera then watches Ferdinand kill Niki, and runs and hides. What happens next is best summarized by MK in 4x04:
Fay and Femke
"You gassed her family. You burned her alive."
Fay and Femke (and their mother; "Moeder en tweelingdochters") who died in a car crash in Amsterdam, as seen in MK's clippings/presentation. The comic corroborates this without adding anything new, aside from confirming what was already very heavily implied: it was not an accident.
Briefly confirmed dead in the comic
The "suicide" of a sad runaway in Denmark
Not even mentioned in Issue 5; seen alive at the beginning of the first season.
After Ferdinand has completed The Helsinki Protocol, he debriefs Rachel on the six dead Leda clones and 32 dead civilians:
RACHEL: And you're certain Veera Suominen is dead?
FERDINAND: Yes, Rachel. And Niki Lintula. I... personally confirmed it. Six girls, 32 civilians. In 24 hours. One of my most complex jobs.
R: Six Ledas... and 32 civilians...?
F: An unfortunate car "accident" in Amsterdam killed "twin" teens and their mother. [...] The "suicide" of a sad runaway in Denmark. [...] An "abducted" Czech girl. [...] Tragic school fire that claimed Niki's friend and several teachers. [...]
So to answer your question in summary (TL;DR):
- three Leda clones named Jade, Justyna, and Niki were killed near Helsinki proper
- three other Leda clones named Fay, Femke, and Sofia were killed the same day in Amsterdam and Denmark
- Katja was involved up until the protocol was set in motion
- Veera/MK was at the center of it all, and escaped in the end
Rachel was well aware of the situation, but she was not directly involved in the murders.
Disclaimer: It's very hard to do the comics justice with only text (especially while trying to keep it fairly short) – they are very good aside from some confusing/disappointing continuity and I would recommend reading them if you'd like to understand exactly what happened in "Helsinki."