This article provides a long-term historical periodization of federal police agencies under Mexico's single-party regime (1930s–2000). Based on archival findings in Mexico and the United States, as well as interviews with former law-enforcement officials, the article documents and reflects, in particular, on the entanglements between federal policing agencies and organized crime (police protection rackets). Drawing from bandit studies and critical perspectives on policing, the article argues police protection rackets to be an integral but overlooked mechanism in Mexico's modern state-formation process. The article also hints at the important but largely overlooked role of police protection rackets in the making of capitalist modernity more generally.