Nothing really new here. Such statistics have been similar for a long time.
Although I must say that MY quality of life for the many decades that I have lived in New Mexico has been pretty darn good. When I was away, I was always relieved to return.
(However for the last 15 years or so I have had to deny to myself that Santa Fe and Albuquerque even exist.)
What has happened to New Mexico is sad. They used to have a good Senator in Pete Dominici and a good Governor in Susana Martinez. They have since replaced them with typical left wingers and then successfully gerrymandered out their only GOP member of the House. The powers that be seem to relish the thought of being the abortion capital of the Southwest.
I know Trump thought he had a shot at carrying New Mexico in 2024 and even held a rally there at the end of the campaign. I’m not sure if the GOP can ever regain a foothold in what has become a left wing wasteland.