The deposed shah of Iran and a few members of his family arrived in Mexico from the Bahamas today in a move arranged by former U.S. secretary of state Henry Kissinger.

Kissinger came here Saturday to be on hand for the shah's arrival, according to Mexican official sources. Three months earlier, Kissinger made a trip to Mexico, ostensibly to give some speeches. Actually, the sources said, the former secretary was paving the way for the shah.

Kissinger is known to have been angered by U.S. reluctance to give asylum to a longtime ally, and he and his wife Nancy visited the shah in his exile on Paradise Island in the Bahamas where the shah had been staying since March 30.

In April, the new Iranian government warned that relations with Mexico would be affected if the shah was allowed to enter. A government spokesman here then declared, "We are not going to allow any government or country to dictate our policy."

The shah was quoted by Mexican television as saying he would stay here "several months." It was also reported that Iran's ambassador left for home just before the royal family's arrival.

While the Caeter administration has not declared it would prevent the shah from entering the United States, it has indicated that now would not be an appropriate time.

Kissinger has been lobbying the Mexicans on behalf of the shah since "the day the shah left Iran," the sources said. He discussed the shah's eventual move to Mexico with former foreign minister Santiago Roel, but it was President Jose Lopez Portillo who decided "a few months ago" to welcome him and give him a six-month visa, the sources said.

They added that David Rockefeller, chairman of Chase Manhattan Bank, had also intervened with the Mexicans on behalf of Mohammad Reza Pahlavi.

"He still has a few powerful friends left," a source said.

The private jet carrying the shah landed this afternoon at the hangar of Mexico's largest banking chain, Banco Nacional de Mexico, whose president is a friend of Rockefeller's.

There has been much speculation here about where the shah would live in Mexico. A large group of reporters and the curious today spent the day at Acapulco airport, where the shah was expected to arrive.

It had been rumored that he would move into the house bought by his older sister, Princess Shams, in Acapulco last year. But the house, which is being remodeled, will not be ready for some time.

Another house under construction next door, registered in the name of an Italian baron, is believed to be the future home for the shah, when ready in December. It is an immense, fortresslike building with a watchtower, private beach and dock and three swimming pools - and reportedly cost $4 million.

Today, the shah, accompanied by his wife, the former empress Farah, and several other persons left Mexico City airport in a car. They were reportedly heading for Cuernavaca, a fashionable residential town about 60 miles south of Mexico City.

According to well-placed sources, the shah has rented two houses in Cuernavaca, but they refused to disclose their location.

"The idea is to keep this quiet for awhile," a Mexican friend of the Kissingers said. This is not the shah's first visit to Mexico. He and his wife were here for a week on an official state visit in May 1975.

The Mexican foreign minister said last week that the shah would make his own security arrangements and the Mexican government would assume no responsibility for his safety.

Iranian judicial authorities have declared that the shah is guilty of crimes against the Moslem people and that anyone who assassinates him would be carrying out the people's verdict. CAPTION: Picture 1, MOHAMMAD REZA PAHLAVI . . . still a few powerful friends; Picture 2, Henry Kissinger has criticized U.S. position on shah. By James K. W. Atherton - The Washington Post