Egyptian security forces killed at least 12 people when they mistakenly opened fire on a group of tourists while pursuing "terrorist elements".
Ten people were also injured in the country's western desert in the incident on Sunday and the Mexican Foreign Ministry said at least two of the dead were Mexican nationals.
It said in a statement that the victims were still being identified, and Foreign Ministry personnel were working with the families of the victims.
A joint military-police force was pursuing "terrorist elements" in the area and fired on four cars that turned out to be carrying tourists, according to Egypt's Interior Ministry. The ministry said the victims were Mexican and Egyptian.
The tour company involved "did not have permits and did not inform authorities," a spokesperson for the Egyptian Ministry of Tourism, told The Associated Press, adding that any trips to the Farafra area are required to be cleared by officials.
"They were not supposed to be there," she said, but could not provide further information on the circumstances of the shooting.
Mexican Foreign Minister Claudia Ruiz Massieu was in contact with Egypt's ambassador to Mexico and demanded a thorough investigation into and explanation of what happened, the Mexican statement said.
She also demanded the support of Egyptian authorities for Mexican nationals being transported to Cairo.
Jorge Alvarez Fuentes, Mexico's ambassador to Egypt, and consular representatives were at the Dar el-Fouad Hospital in suburban Cairo, and Alvarez had interviewed five survivors, the Foreign Ministry statement said.
It did not provide details of what the survivors said.
Egypt has been battling an Islamic insurgency in northern Sinai for years, but attacks mainly targeting the army and police escalated and spread to the mainland after the July 2013 military ouster of Islamist President Mohammed Morsi.