Police say they have 31-year-old Sacarias Dee Pena III in custody.
Both men were co-workers at the Formby Prison Unit in Hale County. Sanchez had recently transferred to Lubbock's Montford unit.
Police say the shooting was the result of an argument in front of Pena's home and the men have a previous history involving Pena' ex-wife.
Sanchez was declared dead at Plainview Covenant.
Pena is being held on $100,000 bond at the Hale County Jail. He is facing 1st degree murder charges and could serve anywhere between 5 to 99 years.