Rescue teams continued looking for the other two crew members, said Lt. Karen Burzynski, spokeswoman for the Navy's 3rd Fleet in San Diego.
The HH-60 Seahawk helicopter, from Carrier Air Wing 11, had taken off from the aircraft carrier USS Nimitz as part of a training exercise before it went into the sea late Tuesday.
Helicopters and ships from the Navy, Coast Guard, San Diego Harbor police, U.S. Customs and Border Protection and Mexican Navy searched an area near the Coronado Islands off the northwest coast of Mexico for survivors, said Coast Guard Petty Officer Henry Dunphy.
There was no information Wednesday on a possible cause. It wasn't immediately clear if the Seahawk was equipped with a flight data recorder, which isn't required in many military aircraft.
The helicopter was part of an anti-submarine squadron from Carrier Air Wing 11. The Nimitz and a half-dozen other ships in its strike group were taking part in the search and rescue training exercises.
The names of the crew members on the aircraft were not immediately released.
The Seahawk is a twin-engine helicopter typically used for anti-submarine warfare, search and rescue, drug interdiction, anti-ship warfare, cargo lift and special operations.
In January 2007, four Navy crew members were killed when another Seahawk went down in the Pacific during a training exercise off San Diego. A Navy spokeswoman said facts were still being gathered and declined to answer specific questions about the crash.