Leaving the US is an option - if all the other options are much more harsh.
Mexico, by its geographical location (temperate to subtropical to tropical climate, high desert to coastal Mediterranean localities, jungle to desert landforms) has a sufficiently wide diversity to appeal to virtually everybody, and has natural resources to match. So why are the Mexicans living a Third-World existence?
A history of graft and corruption in politics; an economic system that tends to form into two classes, the very poor and disenfranchised, who have little access to property ownership, and the very wealthy, who have no interest in changing the status quo; and tolerance for a degree of lawlessness that could only be compared to the days of the Wild West in the 19th Century. Plus an internal racism and xenophobia that is only matched in the Middle East or Africa.
I see no other course of action, than to invade Mexico, establish occupational rule, and impose an entirely new social order. Then, as each Mexican province achieves various benchmarks (literacy in English, workable legal system compatible with US constitutional law, and decent infrastructure development), allow the citizens of that province to petition to become an additional state in the United States.
Wouldn’t have to leave the US - the US goes to Mexico.
The problem is there would be guerrilla warfare, on a scale that would dwarf even Vietnam, and that it would take anywhere from 3-5 generations (60-100 years) before the truly debilitating aspects of Mexican life and culture could be eliminated. I am also unsure whether the Indians of Mexico, a large portion of the population, are capable of making the transition to the modern world.