Baroness Cox and Bishop Stewart Ruch were in Nigeria's Jos State on Monday 14th November to meet people affected by Islamic insurgency.
Boko Haram has left thousands of people dead in attacks on mainly Christian areas.
The pair were part of a group of church and charity leaders on a fact finding mission.
Around 30 minutes after leaving a village the group received a phone call from a vicar they had met there.
He said he was phoning to check their whereabouts because Islamist Fulani herdsmen had descended on the area and opened fired.
"My main concern was I hope none of the villagers were hurt," Baroness Cox told Premier.
No one from the Christian community was injured, she added.
Rev Gyang Boyi had met with the peer on her visit and described the scene when she left: "Barely thirty minutes after your team left, armed men came into the valley, the only way out of the village, and started shooting at people driving through.
"Many shot at were youths driving back from a wedding. They must have thought it was your team.
"We thank God you escaped this."
Baroness Cox added: "What is going on is immensely serious for the Christian communities in the North.
"Boko Haram has been driven back from many areas but it's still creating terror and killing people."
She's urging the West to do more to tackle the insurgency.
