When asked what he thought about being in the city at the same time as Madonna, Rodriguez said it was "very good," without elaborating.
Rodriguez spent two hours Sunday teaching children to bat at a new sports center built on a landfill in the poor suburb of Nezahualcoyotl while Madonna prepared to perform for a sold-out second night in Mexico City as part of her "Sticky & Sweet" tour.
Rodriguez and his wife divorced in September, months after he made tabloid headlines for a rumored, but denied, dalliance with Madonna.
Less than four weeks later, Madonna and filmmaker husband Guy Ritchie announced their own split after nearly eight years of marriage.
Rodriguez, known by fans as "A-Rod," was invited to inaugurate the sports center by Mexico's richest man, Carlos Slim, whose Telmex Foundation sponsored its construction. The site includes two baseball diamonds and 25 soccer fields.
"It's a pleasure to talk about baseball, to talk about the importance of keeping children off the streets, out of drugs and out of all the bad things that there are in this life," the New York City-born Rodriguez said in Spanish.