If you enjoyed the Palacio de Bellas Artes, have a look at the Palacio Postal, the Central Post Office, as the same architect, Italian Adamo Boari, designed both buildings and they are located across the street (Lazaro Carenas) from each other.
The building is a stunning and agreeable combination of a number of styles, with many interesting details such as the bronze lamps outside featuring gargoyles and dragons. The interior is quite lavish, with wrought iron and marble. The second floor contains a small Postal Museum.
Well worth a visit in my estimation. Admission is free.
This review is the subjective opinion of a TripAdvisor member and not of TripAdvisor LLC.