It said the U.S. employees were recovering in hospital from "non-life threatening" injuries, and that the naval captain was unharmed.
The Associated Press quoted an unnamed law enforcement official saying one of the wounded men had been shot in the leg and the other in the stomach and hand. The official did not identify their jobs, but he did rule out that either belonged to Drug Enforcement Administration, the DEA, or the FBI.
The incident took place on a highway on the southern outskirts of Mexico City close to the city of Cuernavaca, which has been ravaged by criminal gangs during the government's conflict with drug cartels.
A number of different organized criminal groups, most famously the remnants of the Beltran Leyva drug cartel, are known to have a presence in the mountainous area just beyond the Mexican capital in the state of Morelos.
Morelos has suffered from periodic bouts of intense violence during the drug wars that have killed over 55,000 people since President Felipe Calderón launched a military-led offensive against the country's drug cartels in December 2006.
Although attacks on diplomatic personnel are not common, there have been several in recent years including one last year in northern Mexico which killed a U.S. immigration and customs enforcement agent.
The incident is, at the very least, highly embarrassing for the highly resourced Federal Police which Calderón set up a few years ago with significant U.S. support, and has repeatedly sought to promote as the biggest achievement of his efforts to modernize the country's law enforcement capabilities.
The force is still recovering from the damage to its image down by an incident in the food court of Mexico City's international airport in June in which three federal agents were shot dead by colleagues also in uniform who, according to the official version of events, were on the point of arresting them in connection with drug smuggling investigations.
Intellpuke: You can read this article by Guardian Correspondent Jo Tuckman, reporting from Mexico City, Mexico, in context here: www.guardian.co.uk/world/2012/aug/24/us-embassy-staff-shot-mexican-police