The police were carrying out a court order in El Aguaje, Michoacán state, when their convoy was ambushed.
A powerful criminal group, the Jalisco Nueva Generación Cartel, is believed to have carried out the attack.
Authorities said all resources would be put into finding those responsible. The region is a hotspot for violence linked to turf wars between drug cartels.
Mexican President Andrés Manuel López Obrador has been trying to tackle drug crime since he took office last December.
Police patrol vehicles were ambushed as they passed through the town.
