This article provides evidence on irregular immigration to the US from Mexico in the years 1963–2014. It aims to answer to two questions. The first is: how much is irregular immigration responsive to changes in the US labour market? Compared with legal immigration, irregular immigration seems to be more sensitive to short‐run economic cycles as it is not directly regulated by the policies of the destination country. Second, what effect does border enforcement have on irregular immigration? One of the proposals of the recent bill is the construction of a double layer fence on the Southern border. We do not know, however, to what extent a further increase in border security will prevent irregular immigration and at which economic cost. The contribution of this article is dual: first, it provides empirical evidence on irregular immigration to the US Second, it provides evidence about the effect of US border policies on irregular immigration.