Prosecutors say three heads were found in an ice box south of Ciudad Juarez, which lies across from El Paso, Texas.
The local prosecutor's office says the heads belonged to three unidentified men and were found in a rural town about 50 kilometers (30 miles) from Ciudad Juarez.
A headless body was discovered in a canal a few miles (kilometers) away.
The prosecutors' statement said on Tuesday that the body might belong to one of six police officers kidnapped over the weekend. The heads of four of the officers had previously been found. Mexico's drug war has brought a surge in violence, with more than 5,300 gang killings reported in 2008. Gangs sometimes behead rivals or enemies and leave warning notes with the remains.