Actually they usually do a lot worse to them.
When caught, often they are beaten. Citizens can catch and hold illegals, and they often beat them up, and then when the police come, the police beat them up too.
Usually whatever money they have is taken from them.
They are then driven back a few hundred miles south of the border and told if they come back they will be killed.
Its a real crapshoot on what mexico will do with illegals. They might be deported, they might be pointed north, or they my just be the next mass grave to be found in Mexico.