I recently bought a 2017 Polaris RZR which I registered here in Arizona. I am legal on or off road in Arizona {I have both strickers on my plate} but... when I leave Arizona all bets are off. It varies not only by state but often by county as well.
I was up in Pagosa Springs CO last week and spoke with a guy who runs a rental outfit there and in Creede. They are not street legal {regardless of documentation} in Pagosa Springs due largely to the huge volume of traffic they have but up in Creede, if properly registered they are street legal.
California does not allow them on the street in any county. New Mexico is fine if you are street legal in your home state {like me} but individual counties there can impose local restrictions.
As to the earlier comment that they are not allowed in National Parks I know that is not true across the board. You will find them alll over Utah's NP's but in Utah you must have turn signals... go figure.
Bottom line every jurisdiction can have its own, often nonsensical rules so you must check before you go/drive there. A violation in many areas will net you a ticket but in some {California} they might just as likely impound your buggy with substancial fees to retrieve it.
I am lucky in that I can ride right out of my driveway to two of the best off road Venues in the state; Charlouleau Gap and Rail X Ranch are each about one mile from my house. For traveling I tow the RZR in a 10' {14' overall} cargo trailer behind our 24' Class C or my Honda Ridgeline. Traveling with my own private garage is awesome and a big improvement from the previous 2 open trailers both for my RZR and my motorcycle {Indian Springfield}.
:C