We have been in NM the last couple of Xmas. Carlsbad and Deming, Las Cruces. They are all at 3500 feet or higher. I have a pictures of us sitting outside one late afternoon with our T-shirts on and the next day with out heavy winter coats on. A week later, back to T-shirts.
Last year, 2 1/2 months around Phoenix, 1 day of rain and never lower than 45 degrees.
But if you go to the higher elevations like Sedona, Prescott, you will get snow, cold, winds. Everything in the SW depends on the elevation. But the last few years of drought makes a big difference in wet weather, but not in cold or wind.