Police described the couple as missionaries who travel extensively into Mexico.
The scene echoed one described four months ago by an American tourist, who said her husband was gunned down by Mexican pirates on a border lake as the couple tried fleeing on Jet Skis.
"I don't know them, but my heart breaks for them," said Tiffany Hartley, the widow of David Hartley, who authorities say was killed on Falcon Lake in September.
Davis' husband told investigators that he and his wife were traveling about 70 miles south of the Mexican border city of Reynosa when gunmen in a pickup truck tried to stop them. When the Davises sped up, the gunmen fired, wounding Nancy Davis in the head, the statement said.
The husband, identified as Sam Davis by U.S. Customs and Border Protection spokesman Felix Garza, told police he continued to drive at top speed in hopes of outrunning the gunmen until he reached the international bridge and sought help.
Pharr Police Chief Ruben Villescas said Mexican authorities contacted by his department confirmed the shooting happened near the outskirts of San Fernando, about 70 miles south of Reynosa. The area is heavily controlled by the Zetas drug cartel and is one of Mexico's most dangerous. It is the same area where 72 Central and South American migrants were found slain in August, a massacre blamed on the Zetas.
Pharr police and U.S. Customs agents converged on the Davises' truck just before 12:30 p.m. Wednesday, after Sam Davis stopped in the middle of bridge traffic to seek help. Nancy Davis was found bleeding from a head wound in the front passenger seat. An ambulance took her to a McAllen hospital, where she was pronounced dead at 1:54 p.m., according to the police statement.
The statement said the Davises live in a city in the lower Rio Grande Valley in South Texas, but did not specify where or provide details about the couple's missionary work. Villescas, the police chief, did not immediately respond to requests for additional comment late Wednesday.
A friend of the couple told the San Antonio Express-News that the two spent 80 percent to 90 percent of their time in Mexico and had a home in the Mexican state of Nuevo Leon.
"They did some teaching, did some evangelistic work," said Merton Rundell III, director of finance at Union Bible College in Indiana. "But most of their labors were directly involved in establishing churches in different parts of Mexico."
U.S. Customs and Border Protection referred all additional questions to the Pharr police, whose statement said the CBP, the FBI, U.S. Immigration and Customs Enforcement, the Texas Department of Public Safety and Mexican authorities also are participating in the investigation.
The Mexican Interior Ministry released a statement expressing condolences over Davis' death. It said Mexican authorities were investigating but provided no further details. Officials at the Tamaulipas state attorney general's office in Mexico could not be reached for comment Wednesday night.
U.S. Embassy spokesman Alexander Featherstone said the embassy was trying to contact Mexican authorities about the case. He could provide no other information.
Concerns about the investigation into David Hartley's death, about 170 miles northwest of San Fernando, prompted Texas Gov. Rick Perry to call for a stronger response from Mexican authorities. His body was never found, and a Tamaulipas state police commander who was investigating was killed and his decapitated head delivered in a suitcase to a local Mexican army post.
In the migrant massacre, a state detective and local police chief who participated in the initial investigation turned up dead.
Associated Press writers Paul Weber in San Antonio and Alexandra Olson in Mexico City contributed to this report.