Entomopathogenic nematodes (EPNs) are widely used agents of biological control, mainly targeting soil-inhabiting insect pests. Reports indicate that these terrestrial EPNs are also able to infect the aquatic larvae of mosquitoes. We isolated EPN strains (Heterorhabditis bacteriophora Poinar and Steinernema carpocapsae [Weiser]) from local soils at Saltillo, Coahuila state, Mexico. EPNs from these strains were produced in the laboratory in yellow mealworm (Tenebrio molitor L.) larvae, and their pathogenicity as infective juveniles (IJs) was tested against larvae of the yellow fever mosquito Aedes aegypti (L.) Third- and fourth-instar mosquito larvae were exposed to four concentrations of IJs (25, 50, 100, and 200 IJ/larva) of five strains of local EPNs in laboratory assays. All strains of EPN caused lethal infections in larvae (3–100%); in particular, strain M5 of S. carpocapsae caused 100% mortality at the 200 IJ/larva concentration, with a median lethal concentration (LC50) of 42 IJ/larva (LC90 = 91 IJ/larva). Strain M18 of H. bacteriophora caused 73% mortality at 200 IJ/larva, with an LC50 = 72 and LC90 = 319 IJ/larva. IJs were produced by all strains in mosquito larvae, with a range of 66–239 IJ/mosquito larva (inoculated at 100 IJ/larva) across strains, suggesting that horizontal transmission might occur in the field. This represents the first report of native EPN strains from Mexico exhibiting pathogenicity against mosquito larvae. Native EPN strains should be further evaluated as potential biological control agents in mosquito management.