There are a few key stops for online archives in New Mexico that, while useful, are all somewhat underwhelming in terms of digital content.
New Mexico State Records Center and Archives houses Heritage, the online catalog for the NM state archives! This is mostly a pointer system to offline records, but there is a smattering of digital content...look for a small icon in the search results indicating online images.
New Mexico State Library Digital Archive sounds promising, and if you're looking for government reports and records, this is the place. There's not a lot of historical or cultural material here, though.
The Rocky Mountain Online Archive is a detailed pointer system to hundreds of archives (some online, most not) in the three-state area of Colorado, New Mexico and Wyoming. If you prefer, you can access the Online Archive of New Mexico, which is just the New Mexico portion of RMOA.
Lastly, the University of New Mexico offers up New Mexico's Digital Collections -- digitized materials from libraries, archives and museums in New Mexico. This looks to be the most robust collection in the state, with a particular focus in five areas:
Adios, mi amigos.