Foreign Minister Luis Videgaray said the government could place tariffs on selected goods from US states reliant on exports to Mexico.
Earlier, US President Donald Trump vowed to start building the wall "soon, way ahead of schedule".
The US government says it will start accepting design proposals next month.
The US Customs and Border Protection Agency says it will ask companies to submit proposals "for the design and build of several prototype wall structures" on or around 6 March.
