U.S. State Department spokesman Patrick Ventrell did not offer details on whether they are working with Mexican investigators.
"We've been in contact with family members and have been providing appropriate... assistance," Ventrell said. "At their request, we have no further comment at this time."
Ruth Clark, Shabazz's godmother, said that her heart was heavy, but that she believes he is now "among angels."
"Malcolm is part of a welcoming kingdom, sharing his bright smile, intelligence, and wisdom."
Shabazz was born on Oct. 8, 1984 to Qubilah Shabazz, one of six daughters of Malcolm X and his wife Betty Shabazz.
In June 1997, Malcolm Shabazz set the fire at his grandmother Betty Shabazz's home. She died from severe burns, and he served four years in juvenile detention.
He later expressed regret for his actions, telling The New York Times in 2003 that he would sit on his jail cot and ask for a sign of forgiveness from his dead grandmother.
"I just wanted her to know I was sorry and I wanted to know she accepted my apology, that I didn't mean it," he said. "But I would get no response, and I really wanted that response."
Despite the encouragement and support by his family's numerous supporters in New York, he struggled. He joined the Bloods street gang and after moving to the small city of Middletown, near New York's Catskills region, he had additional legal scrapes.
Shabazz also served time on a 2002 attempted robbery conviction, and was released in 2005. In 2006, he pleaded guilty to criminal mischief for smashing the window of a Yonkers doughnut shop.
More recently, Shabazz had taken on public speaking engagements and traveled, describing himself as a human rights activist. On his Facebook profile, he said he was attending John Jay College of Criminal Justice in New York.
Yet his entanglements with law enforcement continued.
In one of the last posts on his blog, in March, Shabazz had complained that FBI agents had recently questioned him about his international travels. He also accused officers with the Middletown police department of harassing him since the fall, and said an arrest in the city over the winter prevented him from traveling to Iran in February to participate in a film festival.
Shabazz also wrote about traveling to Damascus, Syria to study and to Libya as part of a delegation of Americans who met with Muammar Gaddafi, prior to his ouster and death.
Police officials in Middletown didn't return phone messages Friday. An FBI spokesman in New York had no immediate comment.
He proudly embraced the legacy of his grandfather, one of the most influential Black people in history who had a more radical, angry approach than Martin Luther King Jr.'s nonviolent movement in the 1950s and into the 1960s.
On his Twitter page, Shabazz posted a picture of himself mimicking the famous photograph of his grandfather, peering out at a window with a rifle in one hand.
"Grandson, name-sake and first male heir of the greatest revolutionary leader of the 20th century," he wrote.
Associated Press writer Bradley Klapper contributed to this report from Washington; and David Caruso from New York City.