Officials did not say why the gunfight had broken out, but powerful and well-armed Mexican gangs often fight for control of smuggling routes into the United States.
In a city on another part of the US border, armed men killed an assistant attorney general for Chihuahua state and one of her bodyguards.
After being reportedly chased by armed men through the darkened streets of
Ciudad Juarez, the vehicle carrying Sandra Salas Garcia and two bodyguards was riddled with bullets on Wednesday night.
Arturo Sandoval, a spokesman for the attorney-general's office, said the second bodyguard was seriously wounded.
Al Jazeera's Mariana Sanchez, reporting from Mexico City, said Salas was working for a special investigations unit which dealt with issues related to drugs in that state.
"We are seeing more and more officials getting attacked by the drug cartels. It is a way of sending a message that they don't want to be challenged."
Mexican authorities are on high alert since the assassination of Rodolpho Torre, a leading candidate for governor in the northeastern state of Tamaulipas, on Monday.
Felipe Calderon, the Mexican president, said the ambush was carried out by drug cartels looking to sway the vote which takes place in 12 states on Sunday.
On Thursday, unidentified men left a severed head outside the house of Hector
Murgia, the favourite for mayor of Ciudad Juarez, who is running for Mexico's main opposition Institutional Revolutionary Party [PRI].
Across the country, hundreds have been killed as the drug war increases in intensity.
At least 23,000 people, mainly traffickers and police, have been killed in drug-related violence since Calderon launched an army-led offensive against drug gangs after taking office in December 2006.