There is a Mexican immigration and customs office not too far along the sidewalk after passing through the one way turnstiles at San Ysidro. They have a portable customs "traffic light" that they sometimes trot out to do spot checks on pedestrians. More often than not there is nobody checking for anything on the Mexican side when crossing by foot.

If you are crossing into Tijuana by car and need to stop to take care of immigration formalities such as obtaining a "tourist card" then use the right most Mexican immigration lane and pull into the small parking lot in front of the immigration office.