Many agencies that rent cars
allow you to take their cars to Mexico. Try Advantage, Enterprise or Budget.
When making a reservation, it is a good idea to ask specifically about
their Mexico policy. Local offices are more accomodating than the national
reservations offices. In any case, be sure to get Mexican insurance from either the
rental car agency or an independent insurance agent on your route south. Ajo
alone has more than 6 agents providing Mexico insurance.
If you fly into Phoenix, Check operating hours.