Mexico City is not a state, but it’s the equivalent of a state. Its elected leader is not called a governor, but the Jefe (for a man) or Jefa (for a woman) de Gobierno, the “Chief of Government”.
On October 5th, 2024, Clara Brugada was inaugurated as Jefa de Gobierno of Mexico City, with a population of over 9 million.
President Claudia Sheinbaum was in attendance at the inauguration. Chief Brugada is a member of Sheinbaum’s MORENA/Green/PT coalition.

I know Mexico but learn from you