The capital's Public Safety Secretariat said the two officers were on routine patrol when a 50-year-old woman approached them and told them her daughter was in labour.
Aided by a paramedic who was passing through the area on a motorcycle, they helped the young woman deliver her child.
Shortly after the baby was born, an ambulance arrived on the scene to provide the woman with further medical assistance and take her to a hospital.
The episode came a week after a woman from the central state of Puebla went into labour while making a pilgrimage to the Basilica of Our Lady of Guadalupe in northern Mexico City, although in that case there was time for her to give birth in a hospital.
