Gunmen laid the decapitated bodies out on a sheet in a central square in full view of horrified pedestrians.
On the sheet was a written message from the Gulf drugs cartel to a rival gang.
Beheadings have become a feature of the violent struggle between Mexican drugs gangs fighting for control of smuggling routes into the US.
More than 34,600 people have died in drug-related violence in Mexico since December 2006, when President Felipe Calderon began deploying the army to fight the cartels.
Much of the violence has been concentrated in northern states along the US border.
Nuevo Laredo is in Tamaulipas state, which has been the focus of a bloody turf war between the Gulf cartel and the Zetas gang.
Attacks on the security forces have also become frequent in the state.
Earlier this month Nuevo Laredo's police chief Manuel Farfan - a former army officer - was shot dead along with two of his bodyguards.
Last June, a candidate for the governor of Tamaulipas, Rodolfo Torre Cantu, was killed on the campaign trail in an attack blamed on drug gangs.
And in August, the bodies of 72 Central and South American migrants were found inside a ranch in the state, after they allegedly refused to pay an extortion fee to the gangs.
Four bodies with their heads severed have been dumped in the Mexican city of Nuevo Laredo, close to the border with the US, police say.