The attack took place at the Aztec High School, New Mexico State Police said on Twitter.
"No other injuries reported," the police said. "#NMSP is investigating this incident. Officers are currently conducting security checks at the Aztec High School."
The school, located in the town of Aztec some 180 miles (300 kilometers) northwest of Albuquerque in an area close to Navajo tribal lands, was locked down and evacuated.
The Navajo Nation said 15 people were injured.
"It's tragic when our children are harmed in violent ways especially on school campuses. We express our condolences to those families who have been harmed," Navajo President Russell Begaye said in a statement.
"Our prayers go out to all those affected by this tragedy and everyone throughout San Juan County. We are asking for prayers for these families."
Police set up an area in a park for parents to pick up their children, the San Juan County Sheriff's office said on its Facebook page.
The families of the victims have been notified, police added.
Gunfire caused the deaths or injuries of 3,700 children and teenagers this year in the United States, according to the non-profit Gun Violence Archive organization.
There were approximately 328 mass shootings, defined as involving more than two people.
More than 33,000 people in the US die each year from guns, including more than 22,000 suicides, according to the Centers for Disease Control and Prevention.
(This story has not been edited by NDTV staff and is auto-generated from a syndicated feed.)