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Canadian citizens traveling on Canadian passports are not required to request an ESTA, so presuming you've met Mexico's requirements for the purpose and duration of your trip, you can check in for the flight and proceed to screening without any additional paperwork for the U.S. for either your outbound or your return.
If your transborder flight is from any of the major Canadian international airports (this includes at least YYZ, YUL, YVR, YOW, YYC, YEG, YHZ, and YWG; YTZ and YQB coming soon), you will go through CBP preclearance and have your U.S. immigrations, customs, and agricultural screening done at your departure airport. Arriving in the U.S. from a pre-cleared flight is essentially the same as arriving from a domestic U.S. flight.
You should still have your passport and onward boarding pass available, however, as the gate agents for your flight to Mexico may do document checks. You don't specify your connecting points or airlines, but it's also possible that your connection will depart from a part of the airport that is not connected airside to your arrival terminal, in which case you would need to re-clear TSA screening.
There is no pre-clearance either from Mexico to the U.S. or from the U.S. to Canada, so you will need to proceed through the regular international arrivals rigamarole, though you can expedite the process at self-serve kiosks if you have NEXUS.
Upvote:-1
You only need to worry if you have dual citizenship with one of the countries listed in Trump's Travel ban.
Even in that case you technically do not need any extra paperwork, however depending on various factors, such as your background, your looks, etc. the US visa officer at point of entry may reject your entry to the US.
Upvote:6
As a Canadian citizen with a passport, you do not have to do additional paperwork in advance -- just the declaration form you will have to fill out at the airport- but you will have the hassles of having to deal with US border officials, who can (but usually won't) deny you entry for any of a great number of possible reasons. You are screened for entry into the US pretty much as you would be for a trip to the US, despite you being 'in transit'. That's because there are not sterile transit areas in US airports, so once you're off the aircraft in the US you could waltz out the door and disappear (or pass contraband to an accomplice).
Typically you will have to arrive considerably earlier at the airport (to deal with pre-clearance) than you would with a non-stop flight, at least on the way out from Canada. You may have a slightly easier time with Canada customs on the way back than with a non-stop flight because you will check off the "other country via USA" box (rather than "other country direct") on the Canadian declaration form.
As well as yourself, anything you bring with you (there or back) has to be acceptable for entry into the USA. Mostly the customs restrictions are not that different between Canada and the USA, but there may be exceptions (Cuban products used to be more restricted by the US than they currently are, for example, but are still subject to restrictions).