Illegal immigrants from Mexico find their way across the southern border of the U.S. a number of ways. None of these ways are very safe, but desperate people are always willing to endure hardship and danger if there is something better at the far end. Americans who have lived here their entire lives often mistreat illegals, but only because they do not understand what the Mexicans go through to get here. Shooting an illegal migration documentary will help everyone become more empathetic to this problem, and maybe create a reasonable solution.
Start at the Militarized Border
The border between Texas and Mexico is a whole other world. At checkpoints, people can come and go freely if they show ID, passports and state their reasons for coming and going. Trucks have to be searched for drugs and human cargo, since many immigrants arrive in the back of a truck, hidden behind false walls and such.
If you get some really good footage of the checkpoints, you can move on to the rest of the border. The rest of the border is typically only a wire fence with vehicles on patrol running back and forth a length of the fence all day and all night long. If you inquire of the patrols, they will tell you of a couple of weak points where immigrants sneak past the fence in the dark. You could sit at one of these points and wait to capture footage of those coming over the fenced border in the dark.
Talk to Immigrants
If you promise to keep their identities safe, you can speak to a couple of illegal immigrants about why they take the risk of being shot, arrested, deported, and/or killed as they attempt to cross the border. The story is usually the same; they want the liberties and perceived freedom and wealth that Americans have. They may also have family already in the U.S. and cannot afford to cross the border legally. In any case, some of the most interesting footage you will get are these interviews, which give a close-up view of why they keep coming.
Interview Soldiers and Border Guards
There are soldiers at the border as well as border guards. Border guards are usually non-military, but can act as soldiers if needed. Some may decline to speak to you if they are on active duty and told not to talk to "press," but that same rule does not apply to border guards. You can get more footage and insight to what happens here by talking to these people too.
To learn more, check out documentaries like The Second Cooler that cover illegal migration.