Jorge Navarro Sánchez and Luis Gerardo Rivera were rehearsing a scene on Thursday when the incident occurred, Televisa said in a statement.
"Our prayers are with the families of Jorge and Luis Gerardo, to whom we send our condolences," said the network.
The program's producers were working with Mexico City officials, the broadcaster said, but no further details were given on the exact location of the incident.
Navarro Sánchez and Rivera were filming the third season of "Sin Miedo à la Verdad" (Without Fear of the Truth).
The program, starring actor Alex Perea, debuted in 2018 and tells the story of a young hacker, helping victims of crime, cyberbullying and corruption.
In addition to his role on the Televisa program, Navarro Sánchez recently appeared on Netflix's "Monarch". Rivera was part of the cast of Telemundo's popular TV series "El Señor de los Cielos".