The Confederate invasion of the territories of the U.S. desert southwest has received a fair bit of coverage over the years. The standard account for many years was Martin Hall's Sibley's New Mexico Campaign. Hall's book is a fine account, but in my opinion has been superseded by Donald Frazier's Blood & Treasure: Confederate Empire in the Southwest (Texas A&M University Press).
Frazier's work is a more complete and more detailed chronicling of Confederate General Henry Hopkins Sibley's northern advance from west Texas into Arizona (Confederate Arizona anyway) and New Mexico territories during the first winter of the war. The author argues that the campaign was not a peripheral or discretionary move but rather a vital part of Confederate grand strategy for creation of a southwest empire. Although permanently seizing the gold fields of Colorado and opening a pathway to the Pacific through what is now Arizona and New Mexico would seem to be far beyond the resources of an already stretched Confederacy, Frazier argues that great results may have come from a greater allocation of Confederate resources to Sibley's effort. Whether you buy this argument or not, Blood & Treasure is the best military overview of the subject. The maps included are unspectacular but the battles are covered in more detail than is commonly seen with survey works of similar scale.
P.S. Camp Pope Bookshop has a nice selection of Civil War in the Far West books here, several of which will be discussed later on this blog.