It was the first call U.S. Defense Secretary Pete Hegseth held with Mexico’s top military officials, and it wasn’t going well. Hegseth told the officials that if Mexico didn’t deal with the collusion between the country’s government and drug cartels, the U.S. military was prepared to take unilateral action, according to people briefed on the Jan. 31 call. Mexico’s top brass who were on that call were shocked and angered, feeling he was suggesting U.S. military action inside Mexico, these people said. The Defense Department declined to comment. Hegseth’s private warning—echoed by other Trump administration officials—now looms over Mexico’s trade...