uh, J.O. Shelby went south of the border to fight with Juarez, his officers and men became smitten with the supplies and the uniforms of the French Lancers and Dragoons they encountered and opted to fight for Archduke Maximillens French Foeces imstead of the Juarezisistas. Rather than lose a good portion of his command Shelby fought for the French for a short time. Sterling Price and several other noted Confederates also put themselves into self imposed exile in Mexico.
The worry of the South was tha if Mexico that if Mexico fell under the thrall of France they they'd lose blockade running ports and the commerce that was coming in and going out as payment to Britain. France had never contributed as much as England to the CS war effort and France was already making noise about supporting the Union.