Canadian citizens traveling on Canadian passports are not required to request an ESTA, so presuming you've met Mexico's requirements for the purpose and duration of your trip, you can check in for the flight and proceed to screening without any additional paperwork for the U.S. for either your outbound or your return.
If your transborder flight is from any of the major Canadian international airports (this includes at least YYZ, YUL, YVR, YOW, YYC, YEG, YHZ, and YWG; YTZ and YQB coming soon), you will go through CBP preclearance and have your U.S. immigrations, customs, and agricultural screening done at your departure airport. Arriving in the U.S. from a pre-cleared flight is essentially the same as arriving from a domestic U.S. flight.
You should still have your passport and onward boarding pass available, however, as the gate agents for your flight to Mexico may do document checks. You don't specify your connecting points or airlines, but it's also possible that your connection will depart from a part of the airport that is not connected airside to your arrival terminal, in which case you would need to re-clear TSA screening.
There is no pre-clearance either from Mexico to the U.S. or from the U.S. to Canada, so you will need to proceed through the regular international arrivals rigamarole, though you can expedite the process at self-serve kiosks if you have NEXUS.