Air pollution is one of the most challenging global sustainability problems in the world. Roughly 90% of global citizens live in areas that exceed the acceptable air pollution levels according to the World Health Organization air quality guidelines. However, socially disadvantaged groups are disproportionately located in areas exposed to higher levels of air pollution. Understanding the association between risk exposure to air pollutants and the underlying socio-economic factors determining risk is central for sustainable urban planning. The purpose of this study was to explore environmental inequalities in Mexico City, specifically the spatial association between air pollutants and socioeconomic status (SES) indicators. We propose that SES indicators will be expected to spatially cluster vulnerable individuals and groups into heavily polluted areas. To test this hypothesis, we used 2017–2019 data from governmental records to perform spatial interpolations to explore the spatial distribution of criteria pollutants. We carried out spatial autocorrelations of air pollutants and SES indicators using the bivariate Moran’s I index. Our findings provide strong evidence of spatial heterogeneity in air pollution exposure in Mexico City. We found that socially deprived areas located in the southern periphery of Mexico City were exposed to higher ozone concentrations. On the contrary, wealthiest areas concentrated in the city center were exposed to greater concentrations of nitrogen dioxide and carbon monoxide. Our findings highlight the need for policy-driven approaches that take into consideration not only the geographic variability and meteorological dynamics associated with air pollution exposure, but also the management of socioeconomic risk factors aimed at reducing disparate exposure to air pollution and potential health impacts.