The government official in the northern state of Sinaloa said Valdez was killed Monday in the state capital, Culiacan, near the offices of his newspaper, Riodoce. Valdez was also a correspondent for the national newspaper La Jornada, which reported that he was pulled from his vehicle and shot multiple times.
In 2011, the CPJ gave Valdez an International Press Freedom Award for writing about the victims of the drug war.
Five journalists have now been murdered in Mexico in just over two months.
Violence - including killings of journalists - surged in Mexico after the government launched a military campaign against drug gangs a decade ago.
He was killed when unidentified attackers opened fire on his vehicle in the city of Culiacan where Valdez was working, the RioDoce website reports.
Police later found his vehicle abandoned a few streets away, where it had been left by the gunman, according to the state prosecutor, Juan Jose Rios.
In March, after journalist Miroslava Breach was shot dead, Valdez was quoted as saying "No to silence" and "Let them kill us all".
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Competitors were aided by 30 world-class runners who took turns in groups of six keeping the pace to reach the record time. He has competed in marathons, with a personal best of 2:10:41. "I've seen the magic of gold shoes and swift suits".
President Enrique Pena Nieto said on Twitter that he had ordered an "investigation of this outrageous crime".
But if Valdez's case is anything like that of the many other reporters who have been murdered in Mexico recently, there's a good chance his killers will never be punished. It is one of the most risky in the country, fueled by drug cartel violence.
He revealed that investigators and forensic specialists from Mexico's prosecutor-general's office were on their way to help in the inquiry.
Photographs from Sinaloa showed Valdez's body in the middle of a street, the brimmed hat he often wore lying among a dozen yellow markers for bullets. The latter chronicled the lives of young people swept up in Mexico's underworld.
Sinaloa has always been a drug trafficking center and is home to the Sinaloa Cartel headed by notorious kingpin Joaquin "El Chapo" Guzman, who is in a NY prison awaiting trial on multiple charges.
"Living in Sinaloa is a threat, and being a journalist is an additional threat", Valdez said in an interview with the CPJ, according the group's website.
Mexico ranks third in the world for the number of journalists killed, after Syria and Afghanistan, according to media rights group Reporters Without Borders. Ricardo Sanchez Perez del Pozo, a lawyer with a background in worldwide law and human rights, took over the post.