Ask permission from the rental car company to take the car out of the country. Tell the company at the time of booking that the vehicle will be taken over the border. Be specific about where and when you will cross the border.
Research the insurance options and buy coverage if needed. Sometimes, a car booked on a credit card is insured by the credit card company. Other times, the insurance company that carries the primary insurance on cars owned by the renter covers rental cars. United States insurance is not good in Mexico. For Mexico border crossings, plan on buying insurance at the border, where short-term coverage is available.
Gather necessary paperwork for crossing the border before leaving. A copy of the rental agreement must be in the vehicle when it crosses the border. Also, all persons in the car must have Western Hemisphere Travel Initiative compliant identification documents, usually a passport.
Show the documents to the border crossing official if stopped at the border. Store the documents somewhere in the car that's easy to access. Answer any questions asked by the border official honestly and thoroughly.
Drive across the border once given permission by any border officials. Only travel to the places you mentioned to the rental agency when renting the car. Present the rental agreement and identification documents when crossing the border back into the United States.