The attack took place at the Aztec High School, New Mexico State Police said on Twitter.
"No other injuries reported," the police said. "#NMSP is investigating this incident. Officers are currently conducting security checks at the Aztec High School."
The school, located in the town of Aztec some 180 miles (300 kilometers) northwest of Albuquerque, was locked down and evacuated.
Police set up an area in a park for parents to pick up their children, the San Juan County Sheriff's office said on its Facebook page.
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