New Age
In the final days of Pre-Regression civilization, a movement began centered around the belief that humanity would go through a new spiritual phase, the so-called "Age of Aquarius", in the coming years. Called the New Age Movement, they began to congregate in the Southwest as the Regression approached. The new era wasn't the total shift in spiritual consciousness they envisioned, but none can deny the world did change.
In the following centuries, the New Age philosophy and theology obviously underwent revisions. The once freeform nature of the faith became more and more structured as those with water - and thus, power - declared their ideas to be doctrine and opponents' beliefs to be heretical. Many beliefs were co-opted from the Southwest Tribes, due to a belief that this would allow the New Agers to survive in the region. This proved to be incorrect, but the influence remains to this day.
The primary belief is the supremacy of a Sky Father, who rules everything. Below Him are the Earth Mother, who created everything, and the Great Spirits, personifications of nature who are prayed to by the Medicine Men for more specific favors. An observer would claim that this resembles the Catholics' belief in God, Virgin Mary, and the Saints, and would then declare that this is a relic from New Mexico's Latino population, but the New Agers deny any obvious similarities. For example, they point to their most holy ceremony, the Ghost Dance Ritual, or to their belief that gems contain healing properties.
New Age Medicine Men (Male) and Mediums (Female) are believed to have healing powers. While the mediums are simply believed to heal by touch, the Medicine Men lead their village in rituals meant to cleanse the body - exercise, meditation, and therapy like herbal teas. Astrology also plays a huge role in the New Age - no one, from the lowliest slave to the most exalted ruler, starts his day without a horoscope reading.
The New Agers believe in reincarnation - everyone has a spirit guide, and the lessons learned from meditating on one's past lives are considered an important step in spiritual progress. While they do believe women serve an important role in their faith, this is still a Hydraulic Empire, and irrigator society has little room for advancement regardless of gender - Mediums are largely over glorified masseuses who speak in tongues, and other women find themselves as beholden to their caste as the men do.
The New Age Movement has spread to the Oklahoman tribes, who incorporated it's methods with New Israelite beliefs, but is otherwise simply New Mexico's state religion.
Here there be Monsters: The Grey
At the back of every human's mind is the feeling that he or she is being watched. This expands to the fear that these watchers will seduce or kidnap the defenseless, drag them to their homes, and the poor soul is never heard from again. They have many names - elves, fey, sidhe, fairies, the Good Folk, the Gentry. But in the Southwest, one name surpasses all others: The Grey.
New Mexican art is surprisingly consistent on what the Grey look like - grey (obviously) skin, large black eyes, emaciated bodies, bald. They come from Elsewhere to kidnap lone humans and take the defenseless to their citadels. Sometimes, the human escapes and returns to the world of Man, where they quickly become valued as spirit mediums because of their experiences. But New Age mythology is replete with stories of those who weren't so lucky.