We explored the hypothesis that high β-diversity of terrestrial vertebrates of Mexico is associated with a high environmental heterogeneity (HEH) and identify the drivers of β-diversity at different spatial scales. We used distribution range maps of 2,513 species of amphibians, reptiles, mammals, and birds occurring in Mexico. We estimated β-diversity for each taxon at four spatial scales (grid cells of 2°, 1°, 0.5° and 0.25°) using the multiplicative formula of Whittaker βw. For each spatial scale, we derived 10 variables of environmental heterogeneity among cells based on raw data of temperature, precipitation, elevation, vegetation and soil. We applied conditional autoregressive models (CAR) to identify the drivers of β-diversity for each taxon at each spatial scale. CARs increased in explanatory power from fine-to-coarse spatial scales in amphibians, reptiles and mammals. The heterogeneity in precipitation including both, coefficient of variation (CV) and range of values (ROV), resulted in the most important drivers of β-diversity of amphibians; the heterogeneity in temperature (CV) and elevation (ROV) were the most important drivers of β-diversity for reptiles; the heterogeneity in temperature (ROV) resulted in the most important driver in β-diversity for mammals. For birds, CARs resulted significant at fine scales (grid cells of 0.5° and 0.25°), and the precipitation (ROV and CV), temperature (ROV), and vegetation (H) and soil (H) were heterogeneity variables retained in the model. We found support for the hypothesis of environmental heterogeneity (HEH) for terrestrial vertebrates at coarse scales (grid cell of 2°). Different variables of heterogeneity, mainly abiotic, were significant for each taxon, reflecting physiological differences among terrestrial vertebrate groups. Our study revealed the importance of mountain areas in the geographic patterns of β-diversity of terrestrial vertebrates in Mexico. At a coarse scale, specific variables of heterogeneity can be used as a proxy of β-diversity for amphibians and reptiles.