In an editorial, the archdiocese said that companies should not supply materials or work to build the wall proposed by US president Donald Trump when their own government is against building it.
The piece, tilted Treason against the Homeland, also said that that "what is most surprising is the timidity of the Mexican government's economic authorities, who have not moved firmly against these companies".
A man fishes by a cross in memory of a migrant who died trying to cross to the US; across the river is Texas
Last week, Mexico's economy secretary Ildefonso Guajardo told steel companies that the government would not prevent them dealing with Trump but warned that Mexicans will remember "which brands are loyal to the national identity, and which are not".
"I think your prestige will align with your own interests in not participating in the wall," he told the companies.
The archdiocese said that some companies were interested in supplying cement, paint, lighting and other materials.
"Any company that intends to invest in the fanatic Trump wall would be immoral, but above all, their owners and shareholders will be considered traitors to the homeland," the editorial said.
The proposed guidelines for the wall suggest it will be 30ft high.