All the Pretty Horses is the first book in The Border Trilogy. The other two books in the trilogy, The Crossing and Cities of the Plain, include overlapping themes and characters with the first book. The first two books are both coming-of-age tales. The final book is when John Grady and the main character from The Crossing meet.
Nonfiction works on mid-20th-century Mexico can provide insight into the country's social customs, politics, and corruption, as well as its relationship to the US. Check out The Labyrinth of Solitude, by Octavio Paz, and The Wind that Swept Mexico: The History of the Mexican Revolution of 1910-1942, by Anita Brenner.
Consider other contemporary fiction in the...