Yes - If you are a resident of NM, then according to the NM department of revenue, you will need to report all income from all sources (including out of state rental income) on your NM resident state income tax return.

You will get to claim a NM state income tax credit for any other state income taxes that are paid on a nonresident state return. If the state where the rental property is located does not have a state income tax, then unfortunately, you will not be able to claim any state income credit related to you NV located property.

For CO, you will need to file a CO nonresident state income tax return to report your CO located rental property net income but you will get a tax credit in NM for any state taxes paid on your CO nonresident state income tax return. (If you have net rental losses on your CO located rental property, then no CO nonresident return would need to be filed.)

Just follow the TurboTax guide when working on your states (remembering to do your nonresident state return first so if you did your NM resident state first, you will want to delete and then work on your CO nonresident state return first.) and TurboTax will do all the calculations and credits to your resident states return

Here is additional information about filing in multiple states (select "see more answer" to view the entire attachment)

https://ttlc.intuit.com/replies/3300797