Last time I went to Tucson in February, I arrived on the Amtrak Sunset Limited from Los Angeles. I rented a car and drove back to Yuma for a geocacher event.
I also went west of Yuma and siuth and parked on the US side and walked into Los Algodones MX.
I did need my US passport to get back into the US.
After Yuma I visited Organ Pipe Cactus NM before turning in the car and taking the Sunset back to LA and the Coast Starlight back home.

Great location!