As a U.S. DACA recipient, I would like to visit Canada. Could I walk through the border walk point with a Mexican passport? Planning on flying to Mexico after Canada anyway.
It's coming back to the USA you need to be worried about. You would need Advanced Parole to come back, even then you might not be admitted back to the USA. If you're not looking to go back to the USA after you fly to Mexico from Canada then you shouldn't have a problem.
Mexicans can go to Canada visa free, you will need an eTA if you travel by air. But you mention walking up to the border, you wouldn't need an eTA if you did that. Canadian immigration can refuse you entry if they think you have immigrant intent etc.
From an immigration attorney Justin C. Vance from Reno, NV
Unfortunately, simply being a DACA recipient is not sufficient to allow your re-entry into the United States, as you would also need to qualify for Advanced Parole. You do not want to try to travel outside of the U.S. without having first applied for and received an Advanced Parole Document. Advanced Parole is usually reserved for (1) urgent humanitarian purposes, (2) educational purposes, or (3) employment purposes. If you want to travel to Canada, I would first look into whether you qualify for an Advanced Parole Document (Form I-131). Even if you obtain Advanced Parole, keep in mind that the CBP officer who will meet you upon your return can deny your entry if he/she finds that you are "inadmissible" for some reason (such as health or security reasons). In other words, there is certainly risk involved, so be careful.