More than one million Mexicans and their families, including US-born children, returned to Mexico from 2009 to 2014 after living in the US, the report by Pew Research Center found.
Meanwhile, only 870,000 Mexicans moved in to US during the same time period, creating a net loss of 140,000 people.
An uneven economic recovery in the US was cited as a reason behind the shift.
Industries where migrants typically found work, such as construction, have not rebounded since the US emerged from a recession in 2009.
While increased border security has been an issue in the US presidential race, the Pew Center found that existing border controls have also made it harder for undocumented Mexicans to enter the US.
Family ties
The US has also stepped up efforts to deport migrants who have entered the country illegally.
However, the report found that the majority of Mexicans in the US who returned home did so "of their own accord".
The most common reason cited was reuniting with family. Others cited job opportunities in Mexico.
More Mexico migrants leaving US than arriving - study
20 November 2015
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More Mexicans are leaving the US than migrating there, reversing a longstanding flow, a study has found.
