EL PASO — Jordan Anchondo, 24, gave birth to her baby boy Paul Gilbert two months ago. At an El Paso Walmart, she gave her life to save his.

Ms. Anchondo was holding the newborn as she and her husband, Andre Anchondo, 23, shopped late on Saturday morning. A gunman stormed in, opening fire on shoppers while wearing headphones to dull the loud bursts of gunfire from his AK-47-style rifle. Ms. Anchondo shielded the baby as she was being shot. Her husband tried to shield both of them, relatives said.

Ms. Anchondo and her husband were killed. The baby was grazed by a bullet.

Paul Gilbert — a mass-shooting orphan — had two broken fingers and was being treated by doctors.

His parents were among the 22 victims in one of the deadliest mass shootings in Texas history and one of the latest in a string of attacks that has shaken the nation. The victims were as binational as El Paso, the sister city of Ciudad Juárez in Mexico, part of the daily stream of people who drive and walk across the bridges in border cities to shop.