A photographer for an investigative magazine who fled his home state after being harassed has been found dead in Mexico City along with other people.

The body of Rubén Espinosa, who collaborated with Proceso magazine and other media, was identified by a family member at the morgue on Saturday afternoon, the magazine reported, adding that he had two gunshot wounds.

Espinosa had recently gone into exile from the Gulf coast state of Veracruz, where he felt under threat, according to Proceso. His family had lost contact with him on Friday and by Saturday the free speech advocacy group Article 19 had called on Mexican authorities to activate the protocols for locating a missing journalist.

He was found dead with four women, three of whom lived in the apartment in the middle-class Narvarte neighborhood near the centre of the city, according to the Mexico City prosecutor’s office. The fourth woman was a domestic employee, the prosecutor’s statement said. It said identifications and cause of death were still being verified.

Veracruz has been a dangerous state for reporters. According to the Committee to Protect Journalists, 11 journalists have been killed there since 2010, all under governor Javier Duarte, the most recent just a month ago. Two others, including Espinosa, were Veracruz journalists found dead outside of the state.

Article 19 said the killing of Espinosa marked a new level of violence against journalists in Mexico, as he was first to be killed while in exile in Mexico City. Many reporters under threat in their home states have taken refuge in the capital, where the federal government has set up an agency to help such journalists.

The advocacy group said in an article that the killing occurred “without authorities charged with protecting journalists lifting a finger to help Espinosa”.

Article 19 said it published an alert about Espinosa on 15 June after he reported unknown people following him, taking his photograph and harassing him outside his home in Xalapa, the capital of Veracruz.