The Tamaulipas State Attorney General's office said a gray GMC Yukon with dismembered bodies inside had Texas license tags indicating the vehicle was registered in Midland, KWES-TV in Midland reported.
Midland police said they didn't have a stolen vehicle report on file for the GMC Yukon.
However, Fred Burton, vice president of an Austin global intelligence agency, said the bulk of vehicles stolen in Texas end up south of the border.
"At the end of the day this is the kind of secondary crime that bad guys are using that help facilitate the shipment of drugs across the country," Burton said.
The Zetas and Gulf drug cartels operate in Tamaulipas.
Mexican authorities have not said whether either group was involved in the deaths of the nine.