Southwestern States - North America The Southwest covers such vastly different states as California, Nevada, Utah, Colorado, Arizona, and New Mexico. New Mexico is a land of broken mesas and high peaks. Colorado has the Rocky Mountains running north-south through the center of the state, and the arid Colorado Plateau to the west, with its many canyons carved by the Colorado River. Spectacularly scenic Utah shares both the Rockies and the Colorado Plateau with Colorado. Nevada lies mostly in the Great Basin, its mountain ranges and high plateaus alternating with valleys running north to east.