The victory at the Autodromo Hermanos Rodriguez was Dennis's career fourth in the series and he beat Porsche's Pascal Wehrlein (28) by 7.816 seconds after starting in second place and taking the lead on lap 12.
Brazilian veteran Lucas di Grassi (38) started in pole position and finished third for Mahindra after a determined defensive drive under pressure from a string of cars following closely behind.
The new generation of cars for season nine have been eagerly awaited as faster, lighter and more efficient than the previous Gen2 ones they replace.
Saturday's season-opener saw the Formula E debuts of McLaren Racing and Maserati.
McLaren rookie Jake Hughes (28) finished fifth after qualifying in third place on the grid.
The race had three safety car periods and Dennis also set the fastest lap.
"To win by that margin, start on the front row and get Porsche a one-two is absolutely incredible," said the Briton.
"It was such a physical race, these cars are so hard to drive physically and with the lower grip as well it just makes everything so challenging. But it's even more rewarding when you win by 7.5 seconds."
Abt's Dutch driver Robin Frijns (31) suffered a broken left wrist after a first-lap impact and will have surgery in Mexico, his team said.
