Mexicans are a recent admixture of Amerindians, Europeans, and Africans. We performed local ancestry analysis of Mexican samples from two genome-wide association studies obtained from dbGaP, and discovered that at the MHC region Mexicans have excessive African ancestral alleles compared to the rest of the genome, which is the hallmark of recent selection for admixed samples. The estimated selection coefficients are 0.05 and 0.07 for two datasets, which put our finding among the strongest known selections observed in humans, namely, lactase selection in northern Europeans and sickle-cell trait in Africans. Using inaccurate Amerindian training samples was a major concern for the credibility of previously reported selection signals in Latinos. Taking advantage of the flexibility of our statistical model, we devised a model fitting technique that can learn Amerindian ancestral haplotype from the admixed samples, which allows us to infer local ancestries for Mexicans using only European and African training samples. The strong selection signal at the MHC remains without Amerindian training samples. Finally, we note that medical history studies suggest such a strong selection at MHC is plausible in Mexicans.