Combat will be discussed in terms of individual skirmishes: while some areas will simply be for exploration and to fill out the world of The Bureau, an experienced Agent will recognize when a location is sure to be the site for battle, and there will be several of these per mission. When your agents give an All Clear, feel free to explore the area and scavenge for ammunition.
While you can only carry two weapons at a time, any weapon that isn't empty will remain on the field. So, if the condition is favorable to it, you can 'juggle' different weapons by continuously picking them up, taking a few steps forward every time, and get spare weapons to more favorable locations for yourself.
Don't forget that going into Battle Focus provides a mini-map with radar for all-around tracking, as well as highlighting aliens within your POV.