I'm flying with Aeromexico on a single booking London Heathrow–Mexico City–Cancún. Will I need to collect my bags at Mexico City?
(I'm a UK citizen, if that makes any difference.)
At Mexico City Airport, if you are just connecting to an onwards destination, your baggage would be checked in for it's final destination if it's an international one. Otherwise you will have to collect it and pass through customs.
However you'll have to check if the airline has any restrictions. You can do that while booking your flight or by calling up customer service or even from their facebook chat bot.