Even if you filed your federal and state returns at the same time, your state may not start processing your state return at the same time as the IRS processes the Federal return. Your state return may remain in pending status several days after your federal return has been accepted. Please see this TurboTax help article for more information.
See this New Mexico Department of Revenue webpage under "Where's My Refund" for an explanation of other factors that may delay your refund.
Please also see this TurboTax article for information and links to check on the status of state returns for the different states.
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