I want to thank you for your help. I did get an incredible job at a McKinsey subsidiary which specializes in one industry in particular, and finally got extended a job offer.
My University is a "target school" in Mexico, so I got visits from all MBB. I passed the McKinsey and Bain selection exams. The first of them was Bain. I did not know how to prepare and I ended up getting the LOMS one day before my interview. Out of the two case interviews, I aced one and failed the other, so I did not get an offer.
For the McKinsey interview I had plenty of time to prepare, so I ended up listening to the LOMS twice, and practiced about 30 different cases with some friends. I was told I did pretty good in all three case interviews but they did not like my "leadership stories" so they would not be extending me an offer.
After a while I got a phone call from a McKinsey subsidiary, in one big city in the United States! (It is WAY more difficult for a Mexican like myself to get a job like this.) They sent me a written case first. I passed several rounds and ended up flying to this big city in the US for the final interview. It was a mix between the normal McKinsey case interviews and leadership questions, and a more specialized approach for the subsidiary in particular.
By then I had practiced more than 60 cases, knew how to overcome fear, and had practiced my leadership stories.
So I am flying to the United States in the next few days and I will be the top paid graduate of my class and the only one getting a job both from McKinsey and abroad. Thank you very much!