The game, which in keeping with current Welsh Government guidelines is scheduled to be played behind closed doors, comes between Wales' opening two 2022 World Cup qualifiers.
Wales, skippered by Tottenham's Gareth Bale, start their Group E qualifying campaign in Belgium on March 24 before hosting the Czech Republic in Cardiff six days later.
Having been drawn in a five-team World Cup qualifying group, Wales have to arrange additional international matches in March and September.
The visit of Mexico, ninth in the FIFA world rankings and nine places above Wales, is the first of these and the game will kick off at 8pm on a Saturday night.
The two sides have met four times previously. Mexico won friendlies in 1962 and 2012 and the other two games were drawn.
Their first meeting was a 1-1 draw at the 1958 World Cup in Sweden and their last clash came in May 2018 as part of Mexico's preparations for the 2018 World Cup, with the two sides playing out a 0-0 draw at the Rose Bowl Stadium in Pasadena, California.
"With one eye on the Euro 2020 finals, this match will form a vital part of the team's preparations towards the summer," read a Football Association of Wales statement.
"All fixtures are scheduled to be played behind closed doors for the foreseeable future.
"The FAW will continue to adhere to relevant Government guidelines and supporters will be notified should arrangements change and tickets become available."