We drove 8 hours to get to New Mexico from Dallas, near Santa Fe. There is a nice huge canyon where you can climb. Single pitch, muli-pitch everything is there. From 5c to 7c+, you will find something.
We rented an Air BnB close to Santa Fe for the weekend. The rock is Basalt so it’s not sharp and quite nice to climb on.
No particular season is best, but it can be very cold during winter. We went there in March and it was freezing cold once the sun disappeared. Take a warm jacket.
Also, do not forget to bring and wear an helmet because rocks are falling !