Mexico is a city in Audrain County, Missouri, United States.It is the county seat of Audrain County. The Mexico Micropolitan Statistical Area consists of Audrain County. There is an apocryphal story concerning the name. When a University of Missouri student, questioned on radio, was unable to give an account of her hometown's name, the question was put to L. Mitchell White, then editor and publisher of the Mexico Ledger: "'The first settlers found a wooden sign along the trail. It pointed southwest, and on it had been painted Mexico.'" To avoid unnecessary labor, the sign was left in place. "It was easier to call their town 'Mexico' than to take down the old sign."