The hosts went ahead early on through a Neymar volley, who then set up Jo in injury time for the second.
But in between it was Mexico who played the better football, and who were unlucky to lose.
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The reputation of the Premier League means it is the most popular and one of the most watched leagues in the world.
Five English clubs will compete in the last sixteen of the Champions League for the first time ever as Liverpool, Manchester United, Manchester City, Chelsea and Tottenham face some difficult away matches.