New Mexico has a Republican governor, but that is an anomaly. It has become one of the most reliably "blue" states in the nation. New Mexico voted for President Obama in both 2008 and 2012 by a substantial margin -- and a new Public Policy Polling survey shows they are ready to vote Democratic again in 2016 (especially if Hillary Clinton is the Democratic candidate). Note that Hillary currently holds a double-digit lead in New Mexico over all the leading Republican contenders.
The survey was done between March 20th and 23rd of 674 registered voters in New Mexico, and has a margin of error of 3.8 points.