Although Canada now reports land (and ferry) arrivals to the US, Mexico does not (yet).
There is no US record of who leaves southbound into Mexico, and in most cases Mexico doesn't have a record of their entry either (requiring a Mexico tourist permit isn't enforced at most entry points).
There is no US record of who leaves southbound into Mexico, and in most cases Mexico doesn't have a record of their entry either (requiring a Mexico tourist permit isn't enforced at most entry points).