There are great day trips out of CDMX as well.
The most common one is probably to Teotihuacan, a huge urban area established by the mysterious Teotihuacan culture we only know about by the structures and paintings they left behind. Even the name assigned to them is a Nahuatl (Aztec) name meaning “House of the Gods”. This amazing place is well worth a day trip.
Other places worth a day trip - if not a couple or three days - are the Pueblos Mágicos, or Magic Villages within driving distance of CDMX.
Link to Fodors Guide to eleven magic villages near CDMX