The result was an improvement on their 5-1 loss a week ago but in the end the Mexican team was too strong.
New Zealand will not qualify for the 2014 Football World Cup.
Mexico opened the scoring in the 15th minute and then dominated the game for the rest of the first half going into half time leading 3-0.
In the second half the New Zealand team came back with goals to Chris James and Rory Fallon.
The game was the final one for the New Zealand coach Ricky Herbert who played for the All Whites at the 1982 Football World Cup.
New Zealand 2(C. James 80, R.Fallon 84)
Mexico 4 (O. Peralta 15, 29, 33, Pena 87)
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