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The state that borders Mexico to the west is California. This is based on the geographical layout of the U.S. and its border with Mexico. California has a long stretch of border with Mexico, extending from the Pacific Ocean inward to the east.

In the context of the other states, New Mexico and Texas also share borders with Mexico, but they are located to the east of California. Arizona, while also bordering Mexico, is situated to the east of California as well. Each of these states plays a critical role in connecting the southern United States with Mexico, but it is California that directly abuts Mexico to the west side, making it the correct answer.

Understanding the geographical positioning of these states can help clarify their respective locations in relation to the Mexico border, highlighting how California uniquely meets this criterion.