said, in separate statements. A Mexican marine who was riding with them suffered light wounds.
The Mexican navy and public security ministry said in a joint statement that federal police officers were conducting anti-crime operations in the area when the incident took place.
The US embassy trio was heading to a military installation in the town of El Capulin when they were approached by a vehicle whose unidentified passengers displayed weapons.
"The driver of the diplomatic vehicle used evasive maneuvers and when it returned on the highway, the passengers in the attacking vehicle opened fire on the diplomatic vehicle," the statement added.
"Moments later three other vehicles joined the chase and shot at the US embassy vehicle."
The statement did not specify who the four attacking vehicles belonged to, or whether it was police bullets that wounded the three victims.
It said, however, that the US diplomatic car "was hit by multiple bullets from personnel of the federal police on the Tres Marias-Huitzilac highway."
Photos at the scene showed an SUV with diplomatic plates riddled with bullet holes and its tires blown out.
The shooting took place in the state of Morelos, which has suffered a surge in murders in recent weeks amid a turf war between drug cartels. The bodies of four women were found on another highway near Cuernavaca last week.
Mexico is in the throes of a violent drug war that has left more than 50,000 people dead since President Felipe Calderon deployed soldiers to combat cartels in 2006.
The United States cooperates closely with Mexico under the $1.6 billion Merida Initiative, which provides training for Mexican law enforcement officials as well as equipment to combat drug trafficking.
The US State Department said in a brief statement that the two embassy employees had received "appropriate medical care and are in stable condition."
"We are working with Mexican authorities to investigate an incident this morning in which two employees of our embassy in Mexico City came under attack by unknown assailants," said State Department spokeswoman Victoria Nuland.
Mexican Interior Minister Alejandro Poire voiced deep regret over the incident, pledging to "shed light into what happened" and determine who was responsible.
The two wounded employees were taken to a hospital in the city of Cuernavaca, some 90 kilometers (55 miles) south of Mexico City, a Mexican official said on condition of anonymity.
The newspaper Reforma, citing Mexican marine sources, identified the US citizens as Jess Hoods Garner, 49, and Stan Dove Boss, 50.
After the shooting, the army and the police closed a 10-kilometer stretch of highway as well as access to a wooded area around the scene of the incident near the town of Tres Marias.
The road, which has a heavy police presence, is used by Mexico City residents on weekend trips to Cuernavaca, a tourist destination known as "The City of Eternal Spring" and home to a pre-Hispanic temple.
The incident came 18 months after two US Immigration and Customs Enforcement (ICE) agents were shot while driving in a car between Mexico City and the northern city of Monterrey in February 2011.
One of the agents, Jaime Zapata, died in the attack by members of the feared Los Zetas cartel.