Aeroméxico / AM is an "official" American Airlines interline partner. You
should be able to provide your ongoing flight documentation and the agent should be able to interline and tag your bag(s) appropriately.
Link to list of AA interline partners.
Delta will not do this (as of January 2013) when you are interlining separate tickets, and US has announced they will not do so either (could be bad news of us AAers in the future). (DL claims "convenience", which is rubbish; US claims new USDOT rules, also rubbish, albeit of another tripe, er, stripe.)
Originally Posted by US Airways
Effective August 1, 2012 US Airways will no longer be through checking passengers’ bags when they have been ticketed on separate tickets. For interline itineraries where the passenger has his/her entire journey on one ticket, we will continue our practice as it is done today, but when the tickets are split ... we will only check the bag to the destination on the US ticket.