Soccer is "important" (i.e. the most popular sport) in almost all countries (except Canada, United States and Australia), because it's arguably the simplest and cheapest sport to start a team into, involving the most players on the field vs substitutes+reserve players (11 active players to an average 7+5 subs+reserves). This fact makes soccer prevalent in every part of the globe, which makes it very easy to set up regional, continental and worldwide competitions, which achieve broadcast and advertising revenues often considered astronomical.
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It is one of the earliest "western" sports adopted in Mexico, circa 1900. The actual origin of soccer in Mexico is disputed, but it is a fact that British workers from the extensive mining operations performed in central Mexico were the first to play in the country.
Due to its simple rules and easiness to setup a playing field -- basically, all you need is a flat lot and some markers for the goal area -- it was quickly adopted by the local population. By 1902 there was a formal, amateur league, and by 1921 a professional league was instituted.
Soccer is so important in Mexico because it is the sport most played in that country.
It is the unofficial but most beloved national sport, much as American Football is to the United States.