Summarize:

Your Marriage Certificate will only be valid in your home country if you apply to the Foreign Office/State department. Consult a local Mexican registry office to find out the location of the nearest office. A certified copy is called Acta de Matrimonio and will be prepared at the Registo Civil office. The document must be authenticated by the Oficina de Legalizacion de Documentos, Palacio de Gobierno as it gives proof that your marriage certificate is official because of the seal and signature of the Mexican official. You will have to pay a fee determined by the state at which you are getting married. Visit the U.S. Department of State site and print out the Request of Authentications Service (DS-4194) form. Follow the prompts and fill out the form accordingly. You will need to request authentication from the U.S. Department of State via mail, walk-in, or appointment services.  Mail your complete packet to Office of Authentications, U.S. Department of State, CA/PPT/S/TO/AUT, 44132 Mercure Cir, P.O. Box 1206, Sterling, VA, 20166-1206  Walk-in to the Authentication Services Counter at the U.S. Department of State from 8am to 9am, Monday through Friday, except on federal holidays, with your complete packet.  Call 202-485-8000 between 9am to 12pm and 1pm - 3pm EST, Monday through Friday, to schedule an appointment with the U.S. Department of State.  A complete packet should include the completed Request of Authentications Service form, copy of your marriage certificate, related documents as indicated by form DS-4194, fees, and a self-addressed prepaid envelope. You must pay a $30 fee for the first copy and $20 for each additional copy of a Certificate of Witness to Marriage. There is also $8 authentication fee per document. You may pay by cash or check, payable to the U.S. Department of state. Visit the office of Authentications at U.S. Department of State, 600 19th Street, NW, Washington, DC 20006.
Ensure your marriage certificate is certified. Complete a Request of Authentication Service form. Request a Consular Report of marriage abroad. Pay the fees. Consult the US Department of State for any other queries.