In a statement, the agency said the special agents assigned to the ICE Attache office in Mexico City were shot "in the line of duty while driving between Mexico City and Monterrey, Mexico, by unknown assailants."
ICE Director John Morton issued a statement later Tuesday announcing one of the agents had died and the other was hospitalized.
"This is a difficult time for ICE and especially for the families and loved ones of our agents," Morton said. "This tragedy is a stark reminder of the risks confronted and the sacrifices made by our men and women every day."
Morton said ICE was working with authorities in the United States and Mexico "to ensure those responsible for this senseless act are brought to justice."