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.