City Public Safety chief Manuel Farfan was attacked late Wednesday, the office of Tamaulipas state Interior Secretary Morelos Canseco said in a statement. It did not indicate who was suspected.
Nuevo Laredo, across the border from Laredo, Texas, has been the scene of bloody drug-gang turf battles.
Farfan had received telephone threats since taking over as the city's top public safety official Jan. 1.
One of the two dead bodyguards was also a retired army officer. Military officers have been recruited in many northern Mexico cities to reform and discipline weak or corrupt local police forces.
Also Thursday, Mexico's federal government announced an agreement to provide more than 500 million pesos ($41.5 million) for public safety and law enforcement programs in northern Chihuahua state, home to the violent border city of Ciudad Juarez.
Ciudad Juarez, across from El Paso, Texas, recorded more than 6,000 drug-related killings in 2009 and 2010, making it one of the cities with the highest murder rates in the world.
The funds are intended to strengthen and train local police forces, which are frequently understaffed, corrupt or poorly trained and paid.