I wonder if Mexico and Canada notify the FBI as well. Maybe Canada, but I doubt Mexico does. Drive there for the day, fly out of there with minimal luggage/possessions.
It's very difficult to drive across the border without passing through US border security. And, being sneaky near the border is a good way to get arrested by either side.
US law enforcement works closely with Mexican law enforcement and both countries have an agreement to extradite to the other people who aren't their own citizens semi-automatically.
https://mx.usembassy.gov/our-relationship/policy-history/law...
US law enforcement operate much more in Mexico than in Canada. A lot of the time it's DEA agents working with Mexican police and military on operations funded and supported technically by the US, but the FBI also gets involved.
At many levels individuals in the Mexican government will corruptly hide criminals from the US. But you can't just show up and say you want to join the club. That takes connections.
Well that's just not true. Have you ever driven across the border into either country from the US? You pass through Mexico or Canada's customs checkpoint. It's not until your return that you pass through the US' checkpoint.
As others have pointed out, one can simply drive into Mexico or Canada for a day trip quite easily. After that you could hop on a plane there.
I'm saying this while saying nothing at all about the guilt or innosence of the suspect or investigating agents in this particular case.
I’m aware of one case in specific. 2 brothers killed a person in Sweden, one got caught and got 12 years the other one fled to Libanon which rejected the request to extradite him but chose to prosecute themselves. The sentence was death.