After finishing the campaign, it is possible to cross the border and reach Mexico in Red Dead Redemption 2; but at this stage it doesn’t appear to be intentional.
YouTuber ZacCoxTV made the discovery, and notes it’s only possible once you have completed the main storyline by glitching through the map to cross the San Luis river.
There are some minor spoilers in his video showing how to do it, because the story is complete, so consider that before proceeding.
There isn’t much over there — just one building — and the exploit causes you to arrive without a horse. However, it’s been speculated that Mexico will be part of Red Dead Online. Thus it could become more populated when the online service launches, as it was never intended to be accessed in the campaign.