Unconfirmed reports say most of the victims were Sudanese but it is not yet clear who attacked the group, near the town of Rafah on the border with Gaza.
There is constant tension in the area, where the Egyptian army is trying to crush an insurgency by the Islamic State (IS) militants.
Eight migrants were found alive but wounded in the incident on Sunday, the Associated Press news agency reported.
Jihadists based in the North Sinai region stepped up their attacks after the military overthrew Islamist President Mohammed Morsi in July 2013.
A state of emergency has been in force in the area since October 2014, following an attack by the IS-linked group Sinai Province.
It is unclear whether the killing of the migrants is related to the unrest.