To drive into Mexico from the U.S., you're required to bring the appropriate identification, a couple permits (depending on how far into Mexico you're going), and your proof of Mexico auto insurance. If your car is financed, you'll also need a letter of permission from your lender.
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Driving Across the U.S. Border into Canada in a Rental Car
If you want to drive your rental car from one country into another, the rental company might charge you a 'cross-border fee'. Here's what you need to know. Rental companies charge a cross-border fee to cover the extra insurance required when you drive in a different country from where you hired the car.