One interesting theory I heard about the entire Latin world (explaining why it tends to be poor) is that the old Spanish empire was deliberately modeled to be an extension of aristocratic Roman empire. The problem that this causes is too much power in the hands of aristocrats, with not enough space left for risk-taking entrepreneurs. To the degree that this is true (I'm not sure..), longstanding contact with the US may moderate it in Mexico in particular. Here is a video about it:
Whether it's because of proximity, that so many come without family and/or plan on eventually returning home, or the related effect of so much of earnings getting sent back to Mexico every month, but there is definitely a cultural difference of some sort at play.