The plainclothes officers were near the end of their shift on Monday night when they and three others responded to a report of a robbery at a small market.
Police say they spotted two possible suspects and one opened fire.
A 30-year-old officer was shot in his left arm and lower back and a 38-year-old was hit in his left arm and chest.
The shooting came at a time of high tension between police and communities across America.
Two weeks ago two officers were gunned down in their patrol car in Brooklyn by a man who vowed online to kill "pigs".
The gunman, who committed suicide, suggested in online posts that the killings were in retaliation for the deaths of Michael Brown in Ferguson, Missouri, and of Eric Garner in New York.
In the case of the Bronx cops, authorities said the two did not appear to be targeted. Police are hunting for the suspect.
The tension in New York is causing problems for Mayor Bill de Blasio.
The unions have blamed Mr de Blasio for fostering an anti-NYPD atmosphere they believe contributed to the murders of the Brooklyn officers.
At their funerals, many NYPD officers turned their backs to the mayor in protest.
Mr de Blasio called the gesture "disrespectful".
According to the New York Times, NYPD officers have cut back on making arrests for two straight weeks - possibly presenting a new challenge to the mayor.
