Liberal Democrat peer Baroness Northover said one bullet hit a wall about 10ft above her head.
"I thought 'they're trying to kill us'," she told BBC News Online.
Speaking from the West Bank city of Hebron on Saturday, the peer said they would be demanding an explanation and apology from the Israeli ambassador to Britain when they returned on Monday.
The Israeli embassy in London said it had not received an official complaint from the UN or the politicians, but said it was checking with the military.
A source said it was unclear whether shots had been fired, and if so by whom.
He said the exchange of fire between both sides was "commonplace" in the area and had not necessarily come from Israeli forces.
Yeah, there was no gunfire and if there was, it was Palestinians, and if it wasn't, you just got "caught in the crossfire". Naturally enough, the MPs are pretty chipper about it - because they're British. That said, it was apparently an eye-opener. Lady Northover (very Wildean name, that) said:
"Our UN companions later said that if they had wanted to kill us they would have, but it was certainly our group they were targeting and seeking to scare. We were the only adults around.
"One of the most perturbing things was that we had been surrounded by children as we arrived, but they were not terrified by this - it's obviously a fairly common occurrence," she added.
In an earlier statement Lady Northover, the Liberal Democrats' international development spokesperson in the Lords, said the incident had shown her "the indiscriminate violence faced by Palestinians on a daily basis".
Meanwhile, in an increasingly analogous situation, the US has launched a missile attack on Fallujah, killing 20 . Why? Oh, they only meant to get the bad guys. Obviously.