The visit to Mexico was an important part of the first Red Dead Redemption. On this page, you can learn whether you can reach Mexico in RDR2 or not and how you can do that.
Important note - This text can contain massive spoilers regarding the construction of RDR2's map and the areas that can be visited.
Players can reach Mexico in Red Dead Redemption 2 but this should be treated more like a glitch, something that wasn't planned by the developers. There are no "official" methods of traveling to Mexico. You will have to make a use of a few bugs found in the game. It is highly probable that this "hidden" part of the map will be playable later - in Red Dead Online mode or thanks to an expansion.
The earliest moment when you can try to travel to Mexico is when you reach the epilogue - this is when you can travel around New Austin located in the south-west part of the map. Reach the western part of New Austin. The picture above shows the place where Coronado river is separating New Austin and Mexico.
Get on your mount and enter the river. Move towards the shore on the opposite side of the river. The water shouldn't be deep - your horse should be able to reach the shore. You can also adjust your course, the current isn't that strong.
Find the small valley presented in the picture. Keep moving west.
After reaching the place presented in picture 1 (the end of the valley), start galloping and get on the rocks. Press the button to dismount your horse when you reach the highest point (the picture 2).
Completing all the steps described above allows you to explore Mexico. If not, you should go through the valley again and repeat the steps.
Important note: You can't stay in Mexico for good. The game moves Arthur to New Austin when he dies or sets up a camp. Saving game in Mexico and loading that save also takes you back to the main map.