Cornelius, who scored a hat-trick in Denmark's 4-0 win over Canada on Saturday, calmly completed the spot kick after being fouled by Jorge Torres Nilo in the 83rd minute at the University of Phoenix Stadium.
The 19-year-old's goal cancelled out Marco Fabian's 68th minute penalty following a scoreless first half in Mexico's final warm-up before their next World Cup qualifier against Jamaica on February 6.
Javier Acquino drew the foul that set up Fabian's spot-kick, but there was little else to cheer for the partisan crowd, with keeper Jesper Hansen making five saves to help Denmark secure the tie.
