AJO, Ariz. — Ever since federal agents arrested a local activist for helping two illegal immigrants in this parched desert town near the Mexican border last year, residents are thinking twice about being good Samaritans. “I guess I’ll have to start asking for ID if I want to give anyone a glass of water,” said Jose Castillo, 80, who has lived his whole life in this former copper mining enclave, where temperatures top 110 degrees in summer. The retired mechanic belongs to Ajo Samaritans, a local Catholic aid organization that often leaves jugs of water in the desert for Central...