A woman wearing a blonde wig was arrested on Wednesday for her role the assassination of two Israeli men at a luxury Mexico City mall.

Witnesses said 33-year-old Esperanza Gutierrez was sitting at a nearby table in a restaurant when she and a male companion walked over and shot Benjamin Yeshurun Sutchi, 44, and his bodyguard, Alon Azulay, 41, at 5:22pm local time.

Mexico City police said one of the two Israelis was pronounced dead at the scene, while the other died later in hospital. 

A separate video shows the moment two alleged accomplices pulled up to the shopping center's entrance and fired on auxiliary police officers with a .223 caliber rifle before escaping the scene in a blue Nissan Versa. One of the cops died.

Police are still looking for the two shooters and two other suspects tied to the attack. 

CCTV video captured Gutierrez running through the streets near the upscale Plaza Artz Pedregal in the southwest of the capital before she was arrested.