The incident took place on an illegal dirt road crossing close to the Simon Bolivar International Bridge where thousands of Venezuelans pour into neighboring Colombia each day in search of vital goods.
Colombia Migration Director Christian Kruger said one woman who did not belong to the illegal armed groups behind the shooting was hit by a stray bullet and being treated at a nearby hospital.
"Contraband groups apparently fighting for these routes had a confrontation," he said.
Colombia has turned into a lifeline for thousands of Venezuelans who cross each day to migrate or obtain food and medicine. Venezuelan authorities closed the Simon Bolivar International Bridge in February after the opposition's failed bid to deliver humanitarian aid. Since then, many have been forced to seek a route into Colombia illegally instead.
The dirt pathways known as "trochas" are controlled by illegal armed groups, who charge Venezuelans for passage. Those who cross are frequently harassed, robbed and sometimes even shot.
Recently, Venezuelan authorities have begun allowing schoolchildren and medical patients to cross into Colombia on the bridge and permitting thousands returning with goods each day back in.
Video shared on social media of the incident shows people lugging heavy bags with supplies and even police officers suddenly crouching down and crying as the loud sound of gunfire pierced the air.
Venezuela is in the throes of a political and economic crisis forcing millions to flee. The United Nations estimates a total of 3.7 million have fled in search of better opportunities abroad, over 10 percent of Venezuela's population.
Colombia migration authorities said Thursday that over 1.2 million now reside in the neighboring Andean nation.