Mexican President Claudia Sheinbaum has ordered an investigation into the role played by two US officials in a counter-narcotics operation in the northern state of Chihuahua.

The two died alongside two Mexican officials when their car crashed on their way back from an operation to destroy illegal drug labs, Chihuahua officials said.

Sheinbaum said that neither she nor senior members of the federal security team had been informed about any joint US-Mexican operations.

The Mexican leader has been adamant that foreign officials can only operate on Mexican soil if given prior clearance at the federal level.

Sheinbaum has come under pressure from her US counterpart, Donald Trump, to do more to stem the flow of drugs from Mexico to the United States but she has insisted that Mexico's "sovereignty" cannot be breached.

On Monday, Sheinbaum said "we did not have knowledge of any direct work between Chihuahua state and personnel from the US embassy".

She also said the government needed "to understand the circumstances under which this was taking place, and then assess the legal implications".

According to a Chihuahua state official, the two US nationals and two members of the Chihuahua State Investigation Agency (AEI) died on Sunday morning when the car they were travelling in skidded off the road and fell into a ravine, where it exploded.

The US ambassador in Mexico, Ronald Johnson, described the two American citizens as "US embassy personnel".

Chihuahua State Attorney-General César Jáuregui said in a news conference on Sunday that the two were "instructor officers" from the US embassy who were engaging in "training work as part of the general and normal exchange we have with the US authorities".

He added that the accident happened as they were driving back from an operation in which a number of clandestine labs for the production of synthetic drugs were destroyed.

Quizzed again on Monday about the role of the two US officials, he said they had been engaged in "basic training work, some eight or nine hours [drive] from the place where the operation against the drugs lab took place".

Sheinbaum said officials from her government had asked both the US embassy and Chihuahua state authorities for information to determine if the operation may have breached Mexican national security law, which does not allow for joint operations without prior approval at federal level.

She stressed that while her government worked with the US, including intelligence sharing, there "are no joint operations on land or in the air".