There are shopping and restaurants. The only restaurant I can recommend would be La Roca which is located just east and a little south of the walking entrance across the railroad tracks. Others are much farther into the city. The food would be no better or different than what you would find in Tucson; IMO not as good as out best Mexican restaurants. Nogales does not have buildings from the Spanish colonial era. It is not very interesting in itself.
If you go, take I-19 to its end. There will be a large parking area on the right against the border. Walk east to the main street and then right to the border. Driving over would prove difficult as there is a lot of traffic. Make sure you have your passport.
Having said that, a more interesting trip would be to Tubac and Tumacacori about 40 miles south of Tucson. Tubac is Arizona's oldest settlement established during Spanish rule. Has lots of shops and dining places. Tumacacori National Monument is a Spanish mission site established in the 17th century. It has interesting ruins. The best place to eat would be Wisdom's Cafe on the frontage road between Tubac and Tumacacori. Just a little south of Tumacacori is Santa Cruz Chile which has a wide assortment of chile products.Edited: 21 November 2016, 03:42
Thanks for the feedback and recommendations. I've seen good posts about Tubac.
When I first came to Arizona over 40 years ago, Nogales Sonora was a bustling tourist town with many interesting shops and lots of restaurants. It is far less interesting today. It is not dependent on tourism and is a prosperous business and industrial city. Pharmaceuticals is big business for tourists. There are still shops, and bargains to be had. Violence associated with drug trade and people smuggling drove many people away. No visitor was ever harmed, but people avoided Nogales to the point that many of the businesses on the main tourist street closed. IMO even though there has been recovery, it is not really worth visiting, and certainly is not representative of Mexico. If you want to see the "real Mexico," you need to go to central Mexico to cities/towns such as Guanajuato, San Luis Potosi, Zacatecas, Queretero, Puebla, Cuernavaca, and Mexico City. Mexico is changing rapidly.
There is a great private service from Tucson to Nogales that runs by private request only. I took the service & it was clean & professional. It is owned by a Local Tucson Resident & a licensed business so you wont be scammed. The service is called Sabino Canyon Shuttle Services & her website is SabinoCanyonShuttle.com she offers specials so check w/ her on price rather than just going off website. She will not go into Mexico but waits on US side so take into consideration the price does include a small fee for drivers time to wait. You will enjoy her service & cheaper than Uber or rental car.
It's not like it used to be. Also if you are walking make sure when you come back you get in the right line - the citizen of US line .
Depending on time of day, expect a long line to cross back to the US.