Right, it is so easy for them to immigrate here legally, but they instead choose to risk their well-being crossing the border illegally, to live in the shadows under the constant risk of sudden deportation, and to otherwise be without the rights and benefits of being a legal immigrant, simply because living this way is so much more beneficial than immigrating legally.
The reality is that without a citizen or legal resident in the U.S. to petition for their immigration, or valuable skills, the average skill-less person in Mexico has no chance. They cannot even get tourist visas without significant difficulty.
I am not advocating illegal immigration, just pointing out that what you said makes no sense. If immigrating legally were no problem then of course everyone would do it.
Its kinda funny how it works. When my parents came here from Mexico they had no trouble at all because my dad was a doctor. Other people they knew couldn't even get tourist visas to visit family, but my dad had no trouble getting what was almost a limitless visa for the family. The visa later changed from limitless to expiring on some date, but long before that date a legal resident family member had petitioned for our legal residence. It would have taken 20 years for that to go through. Thats a long time, plenty of time for my parents hate of each other to lead to their divorce and then marry citizens. After marrying, they (and I) gained permanent residence in less than a year. Just like that, in about 9 months, magically.
You know who denied the visitor's visa right? Mexico. If you know anything about the immigration process (which, given what you've said, you do) you would know when you apply for a visa it must clear your own country for approval. For most countries, if you dont have a reason to return i.e. career, assets, land, business, etc they will NOT approve it. They dont want their own people to leave.
There are several exceptions. The following countries dont need a visa: Andorra, Austria, Australia, Belgium, Brunei, Denmark, Finland, France, Germany, Iceland, Ireland, Italy, Japan, Liechtenstein, Luxembourg, Monaco, Netherlands, New Zealand, Norway, Portugal, San Marino, Singapore, Slovenia, Spain, Sweden, Switzerland, and the United Kingdom (For citizens with the unrestricted right of permanent abode in England, Scotland, Wales, Northern Ireland, the Channel Islands and the Isle of Man.)