He died at a nearby hospital, officials announced.
The Salt River Police Department said the injured officer was making a 3 a.m. traffic stop near Pima and Chaparral Road in Scottsdale when shots were fired.
The FBI, who is assisting in the investigation, said in a briefing that three people were inside the car at the time of the shooting. Two of the suspects are in custody while one remains at large. It is not yet known what role that suspect played in the shooting, but he is not considered dangerous, FBI spokesman Perryn Collier said.
The name of the deceased officer will not be released until next-of-kin notifications are completed.