You need an embassy visa for Saudi Arabia if you have a Mexican passport
Visa options for Saudi Arabia
Visa on arrival may be available with conditions
Travellers need a visa to visit Saudi Arabia for Business or Tourism. Travellers who are permanent residents or travellers with a valid business or tourism visa issued by United Kingdom, United States, or a Schengen member state are eligible for a visa on arrival. The visa must be valid and have been used at least once, and travellers must have an entry stamp from the issuing country. Travellers can get a visa on arrival in Saudi Arabia at the port of entry, such as an international airport or border crossing.