Saturday's match is the fourth stop in a tour of Latin America by the tennis greats.
It will be Federer's first time in Mexico, in a career that has seen him win 20 Grand Slam titles.
Raúl Zurutuza, the director of Mextenis - which organizes Mexico's Acapulco and Los Cabos tennis tourneys - was happy to see the Swiss player in Mexico.
"This is an achievement, because we know that it would be hard to get Roger back here as an active player, because he has his tournament schedule," Zurutuza said. "That is why we are happy to have him here."
Federer has turned down invitations to the Mexico Open in Acapulco. He prefers to play in an open in Dubai around the same date.
Federer and Zverev played in Santiago, Chile, Buenos Aires, Argentina, and will play their final match in Quito, Ecuador.
On Thursday, workers were still laboring to set up the court in the bullring, which has also hosted concerts, professional wrestling and boxing matches in the past.
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