The couple's baby girl, who was in the car with them, survived the attack.
Around the same time, a Mexican man married to another consulate employee was killed in another part of the city after he and his wife left the same event.
Mariana Sanchez, Al Jazeera's correspondent in Mexico City, said: "This is a high-profile case for the Mexican government. The US Federal Bureau of Investigation has sent agents here to help Mexican officials investigate the killings."
For their part, Mexican authorities said they had launched a full investigation into the killings.
"The Mexican authorities are determined to clarify what happened and bring those responsible to justice," the Mexican foreign ministry said in a statement.
Our correspondent said: "Analysts seem to think this is a message the killers are sending to US and foreign officials, saying that they don't want them here - they don't want any meddling.
|At least 27 people died in drug-related violence in Acapulco over the weekend [Reuters]
"However, the effect will be [the opposite] because now the government is hands-on with this investigation, and Felipe Calderon [the Mexican president] will most likely address the issue when he goes to Ciudad Juarez on Tuesday."
A spokesman for Barack Obama, the US president, said he was "saddened and outraged" by the killings.
Meanwhile, the US state department said it had updated travel warnings to the area and authorised the departure of dependents of consular staff.
"These appalling assaults on members of our own state department family are, sadly, part of a growing tragedy besetting many communities in Mexico," Hillary Clinton, the US secretary of state, said in a statement on Sunday.
The Americans' killings were among dozens over the past two days, as rival Mexican drug gangs fight for turf with civilians caught in the middle.
Record crime levels
Across the country, drug-related violence has reached record levels, with at least 27 people killed over the weekend around the Pacific resort city of Acapulco.
Four of the dead were beheaded.
According to police, at least 13 people died on Saturday and at least another 14 on
The victims included nine men killed in a shootout and a young woman shot as she drove by in a taxi.
Nearly 19,000 people have been killed in drug-related violence since late 2006 when Calderon came to power and launched a military assault on the country's powerful drug cartels.