Oswald in one of his final interrogations admitted to having visited Mexico but I don't think it is clear whether he was referring to visiting in 1963 or if he was referring to an earlier time. Like maybe when he was in the Marines.
I'm inclined to believe he did visit Mexico City in 1963.
Jon ....I believe that it was the very first interrogation of Lee Oswald, that he denied ever being in Mexico City....He said that he'd been to Tijuana when he was a Marine, but that was the only time that he'd visited Mexico....
I'm sure that he was lying .....And the reason he was lying is because he'd gone waaaaaay out of bounds at the Cuban Embassy and pretended to be very angry with JFK and loudly proclaimed that JFK should be shot, and he just might do that.....
Lee knew that he'd been recorded making that threat and even though it was a hollow threat meant for the ears of Castro's agents, it was very incriminating....