Monterrey's best day out is not in Monterrey. The Sierra Madre rises straight out of the suburbs, and within an hour or two there is canyoning as good as any in the Americas, some of the biggest sport-climbing walls on the continent, and caves you reach by cable car.
Canyoning means Matacanes above all: a full day of rappels, jumps into turquoise pools and swims through dark river passages in the mountains behind Santiago. It is a long, physical day — plan on a pre-dawn start or a night out near Cola de Caballo beforehand — and the season runs roughly from spring to early autumn, closing when storms make the canyon dangerous. Hidrofobia and Chipitín are shorter and easier, and a sensible first canyon.
Climbing goes to El Potrero Chico, an hour north near the village of Hidalgo, where long bolted limestone routes run hundreds of metres up the walls. The season is the cooler half of the year, roughly November to March. La Huasteca, on the edge of the city, is closer and good for a half day.
The easy mountain days — Chipinque, the Grutas de García and the Cola de Caballo waterfall — are easy to do with a hire car, but a day tour with hotel pick-up saves the Monterrey traffic.