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Mexico City has a fairly mild climate all year round. The coldest and, consequently, most smog-infested months are December and January. Although it stays warm during the day, the temperature dips considerably at night during these months, so you'll need to bring a jacket.
The warmest months of the year are April and May, although it never gets too hot thanks to the capital's high altitude.
The rainy season, which brings strong downpours and causes occasional flooding, is from May to October, though you'll often have hours—and sometimes whole days—of sunshine.