In damp but drying conditions Hanninen set the pace over the two runs of the 0.98-mile test in Zocalo, the capital’s main square, posting a combined time on the CDMX stage of 3m37.2s in his Toyota Yaris WRC.
The Finn, with just three powerstage points to his name so far in 2017, will head into the first full day of running on Friday with 1.6 seconds in hand over M-Sport’s Ott Tanak and Citroen driver Kris Meeke.
Thierry Neuville, who led vast chunks of the first two rallies of the season before crashing out of both, lies fourth overall a further second back, with his Hyundai team-mate Hayden Paddon in fifth.
Four-time champion Sebastien Ogier was sixth-fastest on combined times, the Frenchman recording the fastest time of all on the second run.
The third Hyundai i20 of Dani Sordo was seventh, 0.2s faster than current championship leader Jari-Matti Latvala – who was unable to match the pace of Toyota team-mate Hanninen.
Pontus Tidemand turned in a strong performance in his WRC2 Skoda Fabia R5 and sits ninth overall, having already established a 12.7s lead over home favourite Benito Guerra in class.
Elfyn Evans was fourth-fastest over the first two tests in his DMACK-shod Ford Fiesta WRC, 2.5s slower than Hanninen, but is classified 24th and last having been handed a 5 minute penalty for an engine change after shakedown.