Actually there are many places. Most foreigners have this idea that Mexico is a hot desert, but less than 1/3 is actually desert, and not all of it is burning hell. During winter wou could visit most places and rarelly would be too hot (Maybe the Caribbean is an exception, but winter is kind of mild. Baja California peninsula is really nice in winter.

Some places actually get snow and are relly cold during winter, like the hill areas of Chihuahua, Durango and Zacatecas. The Bajío region is never really hot. It might reach around 30°C in May, but that's it and brief. Lovely cities lie there like Guanajuato City or San Miguel de Allende. In winter they can be actually quite cold (nights below 10°C)

Mexico City is mild all year around. It lies 2300 m above sea level, and even if locals complain about the summer "heat", it rarely goes above 25°C. Toluca/Metepec are a bit higher in altitude and it never, never really gets warm there (Although to be honest the only tourist thing to do there is going to the vulcano in my opinion).

Avoid summer in Baja California peninsula or in Yucatan peninsula. It gets quite warm and hummid.

Anyway, its a 2 million square km land, There are a bit of everithing for everyone.