New Mexico's largest city is Albuquerque, and its state capital is Santa Fe, the oldest state capital in the U.S., founded in 1610 as the government seat of Nuevo México in New Spain. with Utah, Colorado, and Arizona, and bordering Texas to the east and southeast, Oklahoma to the northeast, and the Mexican states of Chihuahua and Sonora to the south. It is one of the Mountain States of the southern Rocky Mountains, sharing the Four Corners region of the western U.S. New Mexico ( Spanish: Nuevo México ⓘ Navajo: Yootó Hahoodzo Navajo pronunciation: ) is a state in the Southwestern United States.