You can't work in Mexico without an FM3 visa with working permission. That is very difficult to get; impossible in some states. The FM3 will require that you show proof, every year, of sufficient foreign income, place of residence, etc.
Mexico is very strict in its immigration laws and protects its citizens by not allowing foreigners to take jobs they could do.
You haven't mentioned what part of Mexico interests you, or why.
Are you fluent in Spanish?
Would you be able to support a business for a year or two before it made it?
Do you know about the strong 'sindicatos' in Mexico?
Have you discussed this with your nearest Mexican Consular officials? They'll advise you on the investment requirements for the business you have in mind, as well as the many other requirements.