In the clip, we see what looks like a bright white ball moving through the sky, before the video pans across to a large crowd of more than 100 witnesses.
The ball appears to be moving at some pace into the clouded area of the sky.
The footage was captured in Mexico City on Friday and some witnesses have revealed it is not the first of its kind.
One eyewitness told local media: “There were five balls and they were moving, now they are moving around together.
“I have been here for 20 minutes and they are still there.”
Another said: “They were white points seen in the sky that were moving and were making a triangle.”
While a third was not so convinced, saying: “They are white balloons, maybe they are bright because they are covered in silver which is very common at Christmas.
“If they were aliens, they would have destroyed the planet!”
So far there has been no official explanation for the phenomenon.
This video footage has racked up over one million views since it has been posted online.
Mexico City is one of the biggest cities in the world with a population of more than 23 million people.
Just yesterday, a man claimed that he had in fact travelled inside a UFO.