Thunderstorm and hailstorm environments from 1981 to 2018 are analysed using the proximity soundings approach based on the European Centre for Medium‐Range Weather Forecasts Reanalysis v5 (ERA5) reanalysis dataset. Given the nature of the severe weather dataset, four proximity soundings 0000, 0600, 1200, and 1800 local time were retrieved per day with hail activity or thunderstorms. After quality control, a total of 30,760 vertical profiles were used and grouped seasonally and spatially to consider the local variation of the convective environments. Diverse instability, kinematic, and composite parameters were calculated to characterize the environments for these two convective hazards. The results indicate differences mainly modulated by orographic features, continentality, regional climate, and general synoptic characteristics. Higher instability environments of thunderstorms and hailstorms are observed in the subregions near moisture sources such as oceans, principally during summer and autumn when tropical activity occurs. High wind shear environments are concentrated during winter and spring, mainly in central and northern regions of the country, associated with the passage of frontal systems. The covariates are reasonably accurate at predicting severe weather, but their prediction skill decreases during the warm season when severe weather is more common in Mexico. Increased knowledge of severe weather and associated convective hazards will improve weather forecasting and may be helpful in disaster risk reduction due to meteorological hazards in Mexico.