Salvador Cabanas shot in head
The 29-year-old, one of Latin America's most prolific goal scorers and expected to help spearhead Paraguay's attack at this year's World Cup, was possibly involved in a fight before the predawn shooting, Mexico City's top prosecutor said.
"The bullet entered the front of his head and did not exit," Miguel Angel Mancera told Mexican television.
Doctors who operated on Cabanas said he was in stable but critical condition.
"The bullet was not removed. We would do more harm trying to take it out and it won't do any harm where it ended up," Dr Ernesto Martinez told reporters.
Cabanas plays for Mexican club side America and was his country's top scorer in the South American World Cup qualifying section with six goals.
At the finals being held in South Africa, Paraguay will meet Italy, Slovakia and New Zealand in Group F.
The shooting occurred around 5am. in the bathroom of a bar in an upscale neighborhood in crime-plagued Mexico City.
"He went into the bathroom and his wife went to the women's bathroom. She heard a noise two or three minutes later and went out. Salvador was already on the floor," Michel Bauer, the president of America, told Mexican television.
Police were looking for a man who regularly frequented the bar along with his bodyguard, both of them caught on a surveillance camera, Mancera later told reporters.
Mexican President Felipe Calderon condemned the shooting and offered Mexico City authorities federal help investigating the crime.
Cabanas was also the top scorer in the South American Libertadores Cup in 2007 with 10 goals and again the following year with eight, both while playing for America.
He has regularly been among the top scorers in the Mexican championship since moving to the country in 2003, initially with Chiapas until 2006 and then with America, which is Mexico's richest and most powerful club.
He was in Paraguay's squad at the 2006 World Cup but did not get a game. Since then, injuries to Manchester City's Roque Santa Cruz have allowed him to enjoy more action.