You should have returned the I 94 to the airline upon your departure flight from the US. If it is through the port of entry that you left either on foot or by car, then make sure to save everything and proof of your having started to work and live in Mexico. You may want to return to the port of entry and surrender your I 94 to CBP, with proof of your having lived and worked in Mexico since, you do not want the CBP and USCIS databases to have a record of you having never left the US after the date of your TN's expiration.
Kindly be advised that the answer above is only general in nature cannot be construed as legal advice, given that not enough facts are known. It is your responsibility to retain a lawyer to analyze the facts specific to your particular situation in order to give you specific advice. Specific answers will require cognizance of all pertinent facts about your case. Any answers offered on Avvo are of a general nature only, and are not meant to create an attorney-client relationship.
Now that you are back in Mexico, there is no need for you to do either.
Mr. Shusterman's (former INS Trial Attorney, 1976-82) response to your question is general in nature, as not all the facts are known to him. You should retain an attorney experienced in immigration law to review all the facts in your case in order to receive advice specific to your case. Mr. Shusterman's statement above does not create an attorney/client relationship.
If you already accepted the new employment and already terminated your employment in the US you do not have to cancel your prior TN visa and just let it expire by its expiration date if you so desire.
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