I look at how prosperous Canada and The U.S have been, but yet with all its resources, waterways, and much better climate and weather, Mexico has stayed a 3rd world country. What held back the Europeans from a full conquest.
Wait, what?
Mexico had a long and at times violent history with European colonial powers.
After the Conquistadors toppled the Aztecs, Spain began a LONG history of slow expansion throughout the region, with a Mission system stretching all the way to modern Northern California.
Mexico was ruled lock stock and barrel as "New Spain" until the 1820's when insurrection and revolt finally brought independence. Though thanks to internal disputes and men like Santa Anna it was never stable, those decades of violence did as much to retard Mexico's development and economic growth as much as anything.
Though that wouldn't even be the last experience as a colony of a European power. In 1863 the French Emperor Napoleon III intervened and set up the Austrian Archduke Maximillian as Emperor of Mexico, until his death few years later.
So I would say your premise is incorrect, Mexico did have as long and tumultuous experience with colonial powers as her Northern and Southern neighbors.
I wouldn't call Mexico a 3rd World Country. In fact, this term is a bit of an antiquated one. Actually, currently, Mexico is fairly high in development in comparison to many other countries, just not in comparison to the majority of the United States or Canada.
The closest thing to a "3rd World Country" in current academic nomenclature is an LDC. An LDC, or Least Developed Country, is a classification by the UN. An LDC has to meet certain specifications in relation to GDP, human resources, and stability.
There are currently 48 countries that fall under this classification, and Mexico is not one of them. Source
Mexico is anything but thir world, it ranks 18 in terms of economy, it ranks first in UNEP, and in 2014 as well as 2015 more people earned engineering degrees in Mexico, than in the U.S.