OK, it's hard to prove who is really happier, it's not an exact science, but several happiness polls have ranked Mexico above the U.S. For example, see the poll I reported on in my article Lindsey Graham Wrong - Mexico Not a "Hellhole", Doesn't Need Northern 'Safety Valve".
And here's another one, the World Happiness Report, [PDF] based on a poll administered by a branch of the United Nations. It's designed to measure overall life satisfaction. In that report, Mexico was ranked #16 in happiness, while the U.S. ranked just below at #17. (See Smile: USA ranks 17th among world's happiest countries, Kim Painter, USA Today, September 9, 2013).
The first five countries were in northern Europe: Denmark, Norway, Switzerland, the Netherlands and Sweden. Canada was sixth and the UK was #22.
Supposing Mexicans are happier than Americans, wouldn't it be better for Mexicans to stay in Mexico?