Chinese officials said on Wednesday that the border shooting happened as locals from the northeastern Chinese city of Dandong were crossing the river border.
"China attaches great importance to that and has immediately raised a solemn representation with [North Korea]," Qin Gang, a Chinese foreign ministry spokesman, said.
"Now the case is under investigation."
According to a Chinese newspaper on Wednesday, North Korea's explanation was that its troops may have believed the border crossers were spies.
Citing Chinese border authorities, the Global Times said the North Korean side explained that because of the Cheonan incident "they have raised their vigilance".
"The Chinese border residents spoke Korean and were wearing camouflage clothing, and the North Korean soldiers may have believed they were South Korean spies and so opened fire," the newspaper said.
Many Chinese residents near the border with North Korea are ethnic Koreans.
Dandong is a major shipping point and rail link for goods going into and out of North Korea from China.
China's 1,415-km border with its neighbour is guarded by troops on both sides, but the river dividing them is often narrow and vulnerable to smugglers and refugees passing from the North into China.