In a tweet, he said it hurt to be leaving Bolivia but he would return with more "strength and energy".
Mexico's Foreign Minister, Marcelo Ebrard, confirmed Mr Morales had boarded a Mexican government plane.
Meanwhile, Bolivia's military commander ordered troops to back up police who have clashed with Morales supporters.
Some 20 people were reported injured in the clashes.
Mr Morales earlier urged his supporters to resist the "dark powers" that had forced him to step down.
Mr Morales, a former coca farmer, was first elected in 2006. He has won plaudits for fighting poverty and improving Bolivia's economy but drew controversy by defying constitutional term limits to run for a fourth term in October's election, which is alleged to have been rife with irregularities.
Up in El Alto, a city that sits high above La Paz in the Andes, life felt like it had stopped.
The cable car that connects the two cities was paralysed, its cabins bobbing in the air in silence. And a normally bustling market place was deserted, stalls shut for fear of looting.
Dania was one of the only shopkeepers willing to take a risk. She needs the money, she says. A supporter of Evo Morales, she says his resignation was nothing short of a coup.
Crossing the market, Lucy Choque makes her way to work through the burning rubber tyres that were set alight overnight. She just wants the whole thing to be over.