Marisela Escobedo Ortiz, 52, was shot by one of three men who approached her and initiated an argument during her protest in Chihuahua city, the state Attorney General's Office said.
Escobedo was shot at around 8 p.m. Thursday and died later at a nearby clinic.
Images captured by the building's security cameras show she crossed the street to get away from the three assailants, one of whom followed Escobero and shot her in the head at point-blank range, the AG's office said.
The shooter then jumped into a car and the other two men fled on foot. Escobedo led marches and protests to demand action in the August 2008 murder of her 16-year-old daughter, Rubi Marisol Frayre Escobedo, and an end to impunity for the killers of the hundreds of women and girls slain since 1993 in Ciudad Juarez, Chihuahua's largest city.
Rubi's boyfriend, Sergio Barraza Bocanegra, was arrested and charged with the crime in 2009, but his trial ended April 30 in an acquittal, with judges citing a lack of evidence.
Though an appellate court subsequently overturned that decision and found Barraza guilty, he remains at large. Barraza's family subsequently threatened the victim's mother for trying to conduct her own investigation, Marisela Escobedo told El Diario de Juarez newspaper earlier this week.
Escobedo said she learned Barraza moved to Zacatecas state after his acquittal in the first trial and that he had joined Los Zetas, perhaps the most ruthless of Mexico's powerful drug cartels.