As the noise got louder and closer, school officials issued a warning over the loud speaker.
The two victims were students at the school police said, adding that no other injuries were reorted.
The school of about 900 students was cordoned off as authorities cleared the campus and teens were taken to another location where they could be reunited with their parents.More news: LaMelo, LiAngelo Ball looking into playing professionally overseas
This story will be updated as more information about the shooting becomes available.
Numbers of the injured have not been confirmed, but Bloomfield Police Departmented said there had been a "shooting".
The school is located in the Four Corners region and is near the Navajo Nation, about 180 miles north of Albuquerque. The investigation is now being led by the New Mexico State Police, with support from the FBI. Nearby schools in the area have also been put on a preventative lockdown, AP reported.