The World Rally Championship leader was 1.1 seconds faster than second-placed man Kris Meeke over the 3.8-mile stage, just north-east of the rally's Leon base.
Latvala's Volkswagen team-mate Sebastien Ogier was third quickest, two seconds off the quickest Polo R WRC.
Latvala said: "I'm happy with that. I know that it will be tough for me to open the road on this rally, but I have to put this from my mind.
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"Many times we saw Sebastien Loeb win rallies and championships opening the road. It can be done if you don't let it affect the mind too much. My feeling is good."
Mexican rookie Meeke impressed with his speed - but the Citroen star promised that his focus remained on the finish.
"This looks like the kind of rally where you serve your time and get your experience - that's what I'm here for," said Meeke.
Andreas Mikkelsen made it three factory VWs in the top four, as he ended the shakedown just one tenth ahead of his countryman Mads Ostberg.
Mikko Hirvonen was the leading Ford Fiesta RS WRC driver, with Hyundai's Thierry Neuville and Robert Kubica seventh and eighth.
Hyundai debutant Chris Atkinson was ninth quickest after stalling his i20 WRC on the line, with local hero Benito Guerra rounding out the top 10 on his debut in an M-Sport Fiesta RS WRC.
Rally Mexico gets underway with a run through - and under - the streets of Guanajuato, starting at 20:09 local time on Friday.
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Ostberg grabs early lead in Mexico
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