In order to claim relatives in Mexico (without Social Security numbers) as dependents (or to elect to file a joint return with a spouse living there), you would need to apply for ITIN numbers for them. Here’s a TurboTax article about the process, which does complicate your tax filing, and delay any refund you’re expecting (as the W-7 forms for the ITIN numbers are processed before the return, and that doesn’t always go smoothly, unfortunately…).
If you enter the dependents (or spouse) in your tax return in TurboTax, the program will eventually tell you about the need for ITIN numbers. But it will also give you (once you’ve entered all your income and deductions) a refund or tax due amount which will allow you to gauge the benefit of having them on the return. (The rules changed a few years ago, and foreign dependents don’t increase refunds as much as they previously did.) Yo tengo clientes Mexicanos who choose to skip the ITIN process once they see a projection of the numbers, although some do prefer to get the ITINs anyway (especially if the family members may be joining them in the U.S. eventually).
So you have a choice that involves the tax refund amount, as well as other considerations. @edsadu, the Community is here to help clarify things as you decide on this!