We took the midnight flight out of New York, and arrived in sweet- smelling Albuquerque at 5am. It was still dark when we picked up our rental car, but a half moon and a thousand stars lit the cacti all the way up the Turquoise Trail.

Before long, a pink dawn sky turned into a blue I had never seen before, a deeper blue than the Caribbean or the South Pacific, with a vista wider than Norfolk. God, it was good to be alive that morning.

New Mexico, in the far southwest of the US, has always been considered exotic. Even some Americans don’t realise that the state, which only became part of the union in 1912, is a fully integrated part of the country, although more than one-third of inhabitants are Hispanic in origin.

August is hot around these parts, but Santa Fe, a couple of hours north of Albuquerque, is at 7,000ft, so it felt more comfortable. La Villa Real de la Santa Fe de San Francisco de Asis, as its Spanish founder called it, is 400 years old, the oldest state capital in North America.

And it looks nothing like an American city. Few private residences are higher than two floors, so the city’s setting, the rolling hills and blue peaks of the Sangre de Cristo Mountains, are always in sight.

By an ordinance passed in 1958, new buildings must be in a Spanish Territorial or Pueblo style, which gives the city a wonderful look.

Yet it is a relief to see the beautiful Romanesque cathedral of St Francis with its honey stone glowing in the light. On the northeast side of the cathedral there is an exquisite adobe chapel, which has the oldest statue of a Madonna in the US, dating from 1692; every Friday the faithful adorn it with a new dress.

The central plaza is the heart of Santa Fe.

Under the portal of the Palace of the Governors, a single-storey adobe building houses a display of the city’s history, and the square is lined with shops, cafes and galleries. New Mexico has a high concentration of artists, the best-known of whom was Georgia O’Keeffe, and Santa Fe’s art market is the third largest in the US.

On our second afternoon, we drove to the Bandelier National Park, set in the rugged cliffs and canyons of the Pajarito Plateau. Successive communities settled here from the 12th to 16th centuries, the earliest occupants carving the soft volcanic rock of the cliffs to make cave dwellings, while later ones built houses and pueblos from rock debris. The trails all around the park provide challenging walking, so you could easily spend the whole day here.

The drive north to Taos was spectacular: the canyons are stratified in glowing greens, corals, soft browns, greys and pinks, and the mountain scenery is like a supercharged Switzerland. Taos, alongside the Rio Grande, is smaller than Santa Fe and has a laid-back vibe. Everywhere, people are out hiking, rock-climbing and mountain-biking, and in the winter there is great skiing.

We were pretty laid-back in Taos too. In fact, we hardly stirred from our hotel, which wasn’t surprising, considering the health spa, the three restaurants and the swimming pool, although by the second day, the dramatic mountains called us out…

How to get there

Danny Danziger stayed at the Santa Inn on the Alameda, Santa Fe, from £80 for a double room; www.innonthealameda.com . El Monte Sagrado, Taos, is from £105 for a double room for two; www.elmontesagrado.com. British Airways return flights to Dallas Fort Worth from £566; www.ba.com

Times recommends

• Britain's top 10 New Year's Day brunches
• Mozambique's lost islands
• The best things to see and do in 2010