Google Books has a number of digital reproductions of historic documents and history of New Mexico. Here are just a few that I found recently, in no particular order:
* Statehood for New Mexico: Speech of Hon. L. Bradford Prince of New Mexico - Delivered at the Trans-Mississippi Congress, held at Cripple Creek, Colorado, July 19, 1901.
* History of New Mexico and Arizona: 1530 - 1888 by Hubert Howe Bancroft and Henry Lebbeus Oak. (c. 1889)
* The Spanish Archives of New Mexico Vol 1 by Ralph Emerson Twitchell (c. 1914)
* The Religious Architecture of New Mexico in the Colonial Period and Since the American Occupation by George Kubler (c. 1940)
* Journal of a Military Reconnaissance from Santa Fe, New Mexico to the Navajo Country.... by James H. Simpson, A.H. (c. 1852)
* Report of the Governor of New Mexico to the Secretary of Interior 1901
* Contitution of the Proposed State of New Mexico (February 1911)
* History of New Mexico Spanish and English Missions of the Methodist Episcopal Church from 1850 to 1910 - Volume II
... these are just a few of the books that can be found on that site. To search for more books, go to Google Books and search for "New Mexico" or "New Mexico History" or use other search terms.