Mr Giuliani, who heads a security consulting company, has been hired by Mexican business leaders to come up with a plan to clean up the city, which has the second-highest crime rate in Latin America.
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This is still the beginning of a long process
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Rudolph Giuliani, former New York mayor
As mayor, Mr Giuliani was credited with slashing the crime rate in New York with a series of tough policies.
Mr Giuliani, who won widespread praise for his stewardship following the 11 September attacks on the United States, said he plans to apply the same zero-tolerance approach to crime in Mexico City as he did in New York.
The former city leader is being paid $4.3m for his services.
Armoured convoy
Mr Giuliani toured the city's crime-ridden districts in a convoy of a dozen armoured vehicles, accompanied by a police motorcycle escort.
The former mayor said that "although there are differences [between Mexico City and New York]... the situation in some ways is very similar".
But, he said, "this is still the beginning of a long process".
Mr Giuliani will discuss his plans with security officials, judges and the business leaders who hired him on Wednesday.
Proposals include raising the wages of the city's police force, who make an average of 6,000 pesos ($570) a month.
Police and judges in Mexico are notoriously corrupt and have been involved in kidnappings, robberies and bribery.
'Kidnap plot'
Security was tight on the first day of Mr Giuliani's two-day visit, amid rumours of a plot to kidnap him.
Last month, the New York Daily News newspaper said Colombian rebels were planning to abduct Mr Giuliani.
Mr Giuliani shrugged of the threat, saying: "Do I look concerned? I'm not concerned."
Kidnappings are rife in the city and many abductions go unreported because of a lack of faith in the justice system.