Its a monotropaceae, but...Monotropa uniflora? It seems more like a multiflora, polyflora :) Also, I've never seen them with such saturated color before.
Where did you find it? Pinesap (Monotropa hypopithys) is the only species listed as native in New Mexico.
Yes, found in New Mexico, under a spruce. Searching the internets for Monotropa hypopithys, I see similarities to the plant I photographed here (one of about 5 or 6). Native or not, it is not the only monotropaceae I've found. (see attached)