At the 2006 FIFA World Cup, Mexico finished second in their group, qualifying to the Round of 16 before going out 1–2 in extra time to Argentina. The Guardian named him Best Coach of the World Cup for his attitude.
After leaving the Mexico national team, he met with Boca Juniors officials on 24 July 2006. After several weeks of negotiation, it was agreed on 22 August that La Volpe would take over as Boca manager on 15 September, replacing Alfio Basile who had been selected to manage the Argentina national team.
During Mexico's first group-stage match in the 2006 World Cup against Iran, La Volpe was seen chain-smoking in the dugout, leading to an official warning from FIFA that he was not allowed to smoke in the competition area. La Volpe responded by telling FIFA's executives that he would "rather give up football than smoking", although he later consented.