I didn't do it as I was in Tijuana, Mexico a day before.
But if you want you can easily cross the border to Mexico there (if you need a visa to the USA like me - be sure that you have multi-entry USA visa). The easiest way to get to Mexico is to follow Interstate 19 to the end which is very close to the border line. Nogales, AZ has many guarded parking lots close to the port-of-entry (generally for or under $5 a day). Leave your car there and walk to cross the border.
As I read in my Mexico travel book most of the shopping and eating attractions are located close to the border that is within easy walking distance.
Thousands of years ago Nogales was part of a migratory path and trade route called Spain's El Camino Real (The King's Highway).
This sleepy border town is rich with quite old (19th and the beginning of 20th century I mean) buildings. Apart from Sonoran Style there are fine examples of Queen Anne Cottage, Second Empire, Spanish Colonial, Pueblo Revival, Mediterranean Style, and Bungalow Style all within the downtown area.