I haven't visited any of them but there are a few in Mexico City from what people have posted within this forum (in Spanish). Also there is a youtube video which shows some locations (again the video is in Spanish, but it will give non-Spanish speakers an idea too).
I know this is an old thread, but it's the first search result for "board games in mexico city" so I thought I'd update with some first-hand info. I had trouble looking for a specific game in the centro/condesa area based on stores' websites, most don't have one and those that do are hard to navigate without a good handle on Spanish. There's a store I didn't visit but were very friendly on facebook messaging and checked whether a game was in their inventory for me: Nalua Juegos (Roma Nte).
However I found on the block south of El Palacio de Bellas Artes two 4+ story buildings chock full of all things gaming called Pikashop and Fan Center. Magic, Yugi-oh, comics, toys, costumes, and at least one board game store called Devir. Devir had a great selection of about 50 games, most well-known titles and many greats/classics. I picked up my first copy of Mage Knight(!) for a reasonable price of about $85. They even graciously pulled someone playing there to ring me up in english. I can't recommend this area enough, if only to look around.