The Palace of Fine Arts (Palacio de Bellas Artes) is Mexico City’s top performance hall and art museum. The palace offers tons of different shows and I recommend going to see one. There are great ballet shows offered at extremely affordable prices. You can look at the schedule and read the reviews and decide which one you want to go to. Some people dress up to the shows but it is also acceptable to dress casual.
This beautiful white marble building is a great starting point if you’re looking to walk around the city.