The national newspaper La Jornada said Miroslava Breach, its correspondent in the state capital, also called Chihuahua, was shot eight times outside her garage in the morning and died while being taken to the hospital.
La Jornada said Breach, 54, was accompanied in the car by one of her three children at the time of the attack.
"Presumably there was at least one attacker who approached on foot when the La Jornada correspondent was taking her son to school and fired a .38-caliber (gun)," it said. "Eight shells were found lying in the street."
According to La Jornada, Breach had worked for the paper for more than 15 years and also for other newspapers in the cities of Chihuahua and Juarez. It reported that a rolled-up cardboard message was left at the scene saying "for being a tattletale."
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In a statement, the Chihuahua state prosecutor's office confirmed the killing and said it was investigating.
The New York-based Committee to Protect Journalists said Breach had covered crime, politics and other issues.
"She was a highly respected reporter," tweeted Jan-Albert Hootsen, the group's Mexico representative.
According to the CPJ, 38 journalists have been killed in Mexico since 1992 for motives confirmed as directly related to their work. Another 50 have been slain under circumstances that have yet to be clarified.
And on March 2, Cecilio Pineda Birto, a freelancer and the founder of La Voz de Tierra Caliente, was slain at a car wash in Ciudad Altamirano, Guerrero state.
Carlos Lauria, Americas director at the CPJ, said he has no evidence linking the three killings this month. But he called Breach's case "very alarming" and part of a pattern of journalists being murdered with impunity in the country.
"It goes and comes in waves, but the reality is that especially for reporters working outside Mexico City, the levels of violence are unprecedented."
Killings of journalists who work for national outlets like La Jornada, one of Mexico's main daily newspapers, are relatively uncommon. More often the victims are reporters for smaller, local media.
Organised crime groups have a strong presence in Chihuahua state, which borders Texas and New Mexico. Earlier this week at least seven people were killed a series of shootouts between drug gangs in the state.
Mexico has also seen its overall homicide rates on the rise recently.