Four bodies were found on the Mexico-Toluca highway, near the area known as La Marquesa, 34 kilometers (about 21 miles) from Mexico City.
The bodies of three men and a woman had bullet wounds and were found by the Federal Police.
Police found five 9mm shell casings at the scene.
The bodies, whose identities remain unknown, were taken to the Toluca Coroner's Department to carry out necropsy procedures, the Attorney General of the State of Mexico reported.
