Little Village

Called the "Mexico of the Midwest" by neighborhood residents, Little Village is host to the Mexican Independence Day parade every September. The parade, which is Chicago's second largest* Hispanic parade in the city, travels down 26th street, a street that has emerged as the main commercial district and the most important thoroughfare in the neighborhood. This strip of 26th street, which runs from Sacramento to Pulaski, is a vibrant area that is inhabited by supermarkets, taquerias, bakeries and countless carts and vendors selling authentic Mexican street foods. In addition to these abundant food options, Little Village'sstretch of 26th street is also home to clothing and accessory stores, as well as music and other specialty shops that cater mainly to the city's Mexican population. 

This is unconfirmed. Various sources that I've come across list both the Puerto Rican Day parade and Mexican Independence Day parade either first or second.