For me this could be anecdotal. I lived in New Mexico for about 15 years. My parents and my brother still live there. I have no desire to go back. The best way to describe it is that the state sucks the life out of you. It is really hard to escape your past. I would never recommend young people to move there either. If your committed to the outdoors and that will be a large part of your new life you will be pleased with the recreational activities. If you plan to live in the cities and try to enjoy that kind of life, you might end up painfully bored. Only so many blue corn enchiladas one can eat. It does have a unique history and places and things that are completely different from the Texas experience but even with that you could get tapped out quickly.
If you are looking for higher elevations (7000 ft elevation) with nice summers and skiing in the winter, Pinetop has Sunrise and flagstaff has Snow Bowl. A little lower and Durango has a lot of the same things nearby.