Although the woman was quickly arrested and claimed the killings were a crime of passion, prosecutors later discounted that motive and said international “criminal groups” were involved.
Authorities said the woman and another man sat down on Wednesday at a table near the victims at a restaurant in the Plaza Artz mall when the woman stood up and shot the two Israelis at close range.
She ditched the wig and other parts of her disguise outside the mall and ran, but was quickly apprehended by police.
At least two accomplices shot a police officer outside the shopping centre and then fled in a car.
Ulises Lara, spokesman for the city prosecutor’s office, said a total of four suspects were involved in either the killing, logistics or getaway.
The Israeli Embassy identified the victims as Alon Azulay, 41, and Benjamin Yeshurun Sutchi, 44.
Both men had criminal records in Mexico and Israel, it said.
Customers at the shopping centre fled, dived to the floor or took refuge behind storefronts as the sound of gunshots rang through the complex.
Videos and photos posted on social media showed restaurant patrons cowering under tables.
Mexico City police chief Jesus Orta said the woman told police “she had a sentimental relationship with one of the victims, who she met on social media, and that the attack was due to infidelity”.
But on Thursday, Mr Lara said “the supposed motive this person talked about initially doesn’t exist”.
The attack was “an issue of serious coordination, of acts by criminal groups, and in the case we are talking about here, there are at least links to international criminals,” Mr Lara said.
“We have to confirm everything, show you everything, and find out what those links are.”
Additional reporting by Associated Press