Aztec Police Chief Mike Heal said officers entered the school through a window. Students hid in their classrooms, some behind locked doors, as a suspect opened fire Thursday inside the school, killing two classmates before he died.
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.
Meanwhile, the police dismissed rumors on social media of more injuries and more places, stressing that there was no other injuries reported.
Authorities in the small town of Aztec near the Colorado border have released few details other than to say the two victims - Casey J. Marquez and Francisco I. Fernandez - attended Aztec High School.
Sophomore Garrett Parker told Albuquerque television station KOAT that he was upstairs in history class when he heard what he initially thought was students banging on lockers. "We express our condolences to those families who have been harmed", Navajo President Russell Begaye said in a statement.
As the noise got louder and closer, school officials issued a warning over the loud speaker. "When they called over the intercom that this was not a drill, we went over to the corner to the classroom out of sight of the door and just started hiding".
The school of about 900 students was cordoned off as authorities cleared the campus and teens were taken to another location.
David Stone, 16, and Heaven Angelica Hughes, 15, huddled with friends in below-freezing temperatures to light candles and exchange stories. He said one of the victims was his cousin.
Local, state and federal authorities said at a news conference that they had a lot of evidence to process and many interviews to conduct.
The incident occurred shortly after 8 a.m.at the school of about 950 students in Aztec, a town of 6,000 about 200 miles (320 km) northwest of Santa Fe and 20 miles (32 km) from the Navajo Nation reservation.