Well, if they get fake working papers they can still get a job, that's not much of a hurdle compared to everything else. At least their employer reports their income to the IRS and pays payroll taxes (the employer's portion of unemployment, social security, Medicaid, etc) as well as the individual's taxes. So at least some/more of them are paying their taxes.

The legal immigration system is backed up. It could take years, even up to a decade, to be approved or rejected. When your government is controlled by one of the most dangerous criminal organizations in the world and your family is starving, that might be too much time. Mexico has a serious problem with violence and cartels that needs to be addressed with any immigration reform. Our war on drugs has not helped in this matter.

Often they have to pay a decent chunk of money to coyotes to get across the border, and even then they might wind up getting trafficked and forced to work illegally. Going over the border illegally is quite expensive and dangerous, but they still do it. I don't think putting up the Great Wall of Trump is going to completely stem the tide, or be worth the cost in the long run.