It's a no-no to have guns or ammunition in Mexico if you are not a part of the Mexican government. There have been instances where a search turned up a solitary .22 cartridge in a vehicle and the driver was immediately arrested. Here in AZ there are signs alerting motorists to the fact.

Yeah, I'd feel safer with my carry gun, but I would be in violation of their laws. Just don't take guns or ammo into Mexico.