The agents were shot while patrolling on horseback in Naco, Ariz., at about 1:50 a.m. MST Tuesday, the Border Patrol said in a statement.
The agents who were shot were on patrol with a third agent, who was not harmed, according to George McCubbin, president of the National Border Patrol Council, a union representing about 17,000 border patrol agents.
The shooting occurred after an alarm was triggered on one of the many sensors along the border and the three agents went to investigate, said Cochise County Sheriff's spokeswoman Carol Capas.
Authorities have not identified any suspects, Capas said. It is not known whether the agents returned fire, she said.
The wounded agent was airlifted to a hospital after being shot in the ankle and buttocks, the Border Patrol said. He is in surgery and expected to recover, McCubbin said.
Authorities have not identified the agents who were assigned to the Naco station, about 100 miles southeast of Tucson.
The last U.S. Border Patrol agent fatally shot on duty was Brian Terry, who was killed in a shootout with Mexican bandits near the border in December 2010. The shooting was later linked to the Fast and Furious gun smuggling operation.
The border patrol station in Naco was recently named after Terry.
The FBI, which also is investigating the shooting, did not immediately return calls Tuesday.