Armando Rodriguez had covered crime for 10 years in Ciudad Juarez, working for El Diario newspaper. He was shot several times as he sat warming up his car outside his home.
A special federal prosecutor in charge of journalist killings will investigate.
Officials did not immediately have any suspects or motive.
Rodriguez had received death threats in recent months, including one on his cell phone in January, according to a statement from the Attorney General's Office.
For his safety, El Diario sent him to work across the border in El Paso, Texas, but he returned after two months, the office said. He had declined a state government offer for protection, the statement added.
Mexico has become one of the world's most dangerous countries for journalists, in part because drug gangs target reporters whose stories detail their activities. Many reporters refuse to put their bylines on stories, and many newspapers have stopped covering the drug gangs altogether.
Law enforcement sources tell CBS News Phoenix has become ground zero for an explosion in the number of reported kidnappings and home-invasions involving drug traffickers and criminals with connections to the Mexican drug cartels. CBS News chief investigative correspondent Armen KeteyianWith Rodriguez's death, 24 journalists have been killed in Mexico since 2000 - at least seven of them in direct reprisal for their reports on crime - and seven others have disappeared since 2005, according to the Committee to Protect Journalists. .
Rodriguez's death shows the need for Mexico to do more to protect the media, said the committee's Carlos Lauria. "Mexico needs to break the cycle of impunity in crimes against journalists," he said.
Drug-related killings are soaring as cartels battle each other for lucrative routes used to deliver cocaine, marijuana and other illegal drugs to consumers in the United States. President Felipe Calderon is cracking down and the cartels have responded with a vengeance - more than 4,000 people have been killed so far this year, more than 1,000 in Ciudad Juarez alone.
Corruption is widespread, reaching as high as the federal Attorney General's office, and the drug gangs often control more than the drug trade, extorting money from business leaders and even teachers.
On Wednesday, an anonymous banner appeared at the door of a public Ciudad Juarez kindergarten, threatening to attack the school's children if the teachers don't hand over their Christmas bonuses.
Classes were immediately suspended as police decided what security measures to take.
Also Thursday, state police said at least one gunshot was fired outside the U.S. Consulate in the northern city of Monterrey, the third attack on the building in less than two months.
One of the bullets cracked the glass of Isais Perez's nearby fruit cart.
"I was going to take out some oranges to cut them up, and I heard the shot," he said. "I didn't see a car, but it was loud. I went to buy a cigarette, and when I got back, I saw the impact."
In separate incidents last month, an unexploded grenade was tossed at the consulate and gunshots were fired, prompting officials to suspend visa services.
In the northwestern city of Culiacan, at least three of 27 kidnapped farm workers were safely released on Thursday. It was still unclear why the group was abducted.
Assailants rousted the farmworkers from bed before dawn Monday at a vegetable farm just outside Culiacan, the capital of Sinaloa state, then drove off with the group in a caravan of sport utility vehicles.
The three farm workers released told police they were driven to a mountainous area, fed for three days and then dropped off by the side of a highway and given 100 pesos each for a bus back to Culiacan. The workers were blindfolded for part of the journey, so they couldn't tell authorities exactly where they had been.
Prosecutors believe the rest may also have been released and are trying to contact them to investigate the case further.
In the border city of Tijuana, meanwhile, three people were gunned down Thursday and police discovered a decomposing human head left near a hardware store.