Importing your horse, or buying a horse in Mexico can be a little complicated, but worth it.
I have not personally gone through the importing process yet, but will be sharing the experience in the future if I or someone else imports their horse.
From basic research, it seems that the way to go is to contact the vet at the border where you plan to cross and get the latest information from them about what forms and papers you will need. More information and forms are available on this Page from the United States Department of Agriculture website. You will also need to go through a customs broker, who will be responsible for obtaining the permit and crossing the border with the horse. A United States Origin Health Certificate, or a VS-17-140, will need to be obtained for your horse, as well as an appendix to this document that gives a translation of it. The best thing to do is to contact the border vet and customs broker you plan to use to make sure that you collect the right documents according to the latest updates.
Buying a horse in Mexico is simpler, but you will definitely want to make sure to have him properly vetted before buying. You might also want to consider adopting a horse from one of the horse rescue centers in Mexico.