Background: Linked datasets that enable longitudinal assessments are scarce in low and middle-income countries. Objectives: We aimed to assess the linkage of administrative databases of live births and under-five child deaths to explore mortality and trends for preterm, small (SGA) and large for gestational age (LGA) in Mexico. Methods: We linked individual-level datasets collected by National statistics from 2008 to 2019. Linkage was performed based on agreement on birthday, sex, residential address. We used the Centre for Data and Knowledge Integration for Health software to identify the best candidate pairs based on similarity. Accuracy was assessed by calculating the area under the receiver operating characteristic curve. We evaluated completeness by comparing the number of linked records with reported deaths. We described the percentage of linked records by baseline characteristics to identify potential bias. Using the linked dataset, we calculated mortality rate ratios (RR) in neonatal, infants, and children under-five according to gestational age, birthweight, and size. Results: For the period 2008-2019, a total of 24,955,172 live births and 321,165 under-five deaths were available for linkage. We excluded 1,539,046 records (6.2%) with missing or implausible values. We succesfully linked 231,765 deaths (72.2%: range 57.1% in 2009 and 84.3% in 2011). The rate of neonatal mortality was higher for preterm compared with term (RR 3.83, 95% confidence interval, [CI] 3.78, 3.88) and for SGA compared with appropriate for gestational age (AGA) (RR 1.22 95% CI, 1.19, 1.24). Births at <28 weeks had the highest mortality (RR 35.92, 95% CI, 34.97, 36.88). LGA had no additional risk vs AGA among children under five (RR 0.92, 95% CI, 0.90, 0.93). Conclusions: We demonstrated the utility of linked data to understand neonatal vulnerability and child mortality. We created a linked dataset that would be a valuable resource for future population-based research.