Indigenous Mexicans are Native Americans. If you are referring to connections between indigenous peoples of Mexico and indigenous peoples of the United States, many peoples existed across the modern-day political boundary in the pre-Columbian era into the present. In the 19th century, the rival Comanche and Apache nations maintained complex relations with Mexico, the United States, and each other, constantly moving across the border especially before and after the Mexican-American war.

The Aztecs were distantly related to the Ute and Shoshone peoples of the Southwest, the latter nation including the famous Sakagawea who was brought as a child to the Dakotas and married off to a settler.

The distinction between the US and Mexico is entirely political. Spanish and English-speaking settlers drew up the border. Many different indigenous peoples lived, and continue to live, on both sides of this divide.

There's a handful of answers in the FAQ that go in depth about this topic.

Did the Iroquois know of the Aztec in pre columbian America? by u/Reedstilt

Pacific trade routes along Mesoamerica by u/Mictlantecuhtli

Trade in macaws between Mesoamerica and northern Mexico by u/RioAbajo