The answer by user102008 is correct as always; I am posting this because I thought you might appreciate a more detailed look at each of your questions.
My question is about how to go back if I came without any passport from USA to Mexico.
Get a passport! There are other documents that could substitute for a passport, but you're unlikely to have any of those if you don't have a valid passport. It's also possible to use other means to prove your US citizenship at a land border, but this will always be more complicated, and unfortunately if you have a Spanish name, a Mexican accent, or a stereotypically Mexican appearance then there is a not insignificant chance that the immigration officer at the border could decide that your documents (e.g. Texas birth certificate) are fake or otherwise fraudulent.
What do I need to do to go back as normal
Same answer, get a passport.
and not having a passport to show and why I don't have it in the first place?
Why you don't have it is easy. From your question, it seems that you went to Mexico without ever having one, which you could do because (1) you're also a Mexican citizen and (2) the controls on people entering Mexico from the US are pretty lax. Having entered Mexico without a US passport is not going to cause you any trouble whatsoever.
(Alternatively, maybe you had a US passport in the past but it has expired. This is not a problem either. If you had a passport in the past that you have lost, you will need to find out whether a formal report of loss is required, but even if it is, it's not going to affect your application for a new passport negatively; it's just another administrative requirement you'll have to meet as part of the application.)
Where should I go in Mexico to ask about my situation?
As user102008 notes, your best bet is a US consulate or the US embassy, whichever is closest to you. (Consulates and embassies outside of Mexico can also help, though that doesn't typically make sense unless you're on a long visit somewhere or perhaps if you are close to Guatemala or Belize.)