The body of Jose Eduardo Moreira, son of the embattled ex-chairman of the Institutional Revolutionary Party (PRI) and former Coahuila state governor Humberto Moreira, was discovered near Ciudad Acuna, across the Rio Grande river from Texas, late on Wednesday. He had been reported missing several hours before.
The centrist PRI ruled Mexico continually between 1929 and 2000 and is due to retake power in December, when Enrique Pena Nieto will assume the presidency.
Military reinforcements were sent into Coahuila to assist investigations into the killing, which hit one of the most prominent political families in the PRI and sparked outrage among party leaders.
A funeral service was held for Jose Eduardo on Thursday evening and television pictures showed his father breaking down in tears as he bore his son's coffin in Ciudad Acuna.
"I've had to put up with a lot of things, but I can't bear this," Mr Moreira told reporters. "They killed my son. They shot him twice in the head. I expect justice," he added, calling his son a victim of Mexico's struggle with criminal violence.
Around 60,000 people have been killed in turf wars between drug gangs and their clashes with security forces since President Felipe Calderon of the conservative National Action Party took office at the end of 2006.
Mr Calderon staked his reputation on a military offensive to bring the gangs to heel. He has captured or killed many of the top bosses, but the violence has increased on his watch.