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May I ask why you are considering NM? As others have asked, do you or your husband have a job lined up here? If not, I'd really look elsewhere. New Mexico is a poor state, job prospects aren't great, and while NM is in no way like the Bible Belt, it's also not particularly diverse. It's basically just white and Hispanic, with a definite distinction made between white and non-white Hispanics. There's a notable but pretty low key Native American minority, and then only a tiny smattering of other populations. There are no bustling downtowns to blend into. The liveliest and most diverse areas are probably the university area of Albuquerque, and the main tourist/government area of Santa Fe. Even though there's an Islamic Center in Albuquerque, I don't think there's much of a cohesive Muslim community anywhere in the state.
All in all, New Mexicans are really, really nice people, though, and the overall vibe of the state is laid back and non-judgemental. I don't think you'll be harassed or discriminated against, even if you wear traditional Muslim dress. However, the only time I've felt racism here was for some months after 9-11 when some people took one look at me (I'm Indian/Hindu), and assumed I was Arab. Then they were pretty awful. I guess that was happening all over the US at that time, and it hasn't happened recently, but you might want to consider that one of NM's biggest industries is the military and it is full of people who have family members stationed in Muslim countries, and who can be pretty bitter about that. If you're in a burqa you'll get stares and maybe more questions than you'd like. My Mom wears a sari and is frequently stopped and asked all kinds of questions (one of which is always whether she's Muslim), but people are generally friendly about it.
So, if you have to move here for work, I'm sure you'll find friends, you'll find things you like to do, and you'll make it work. It won't be nearly as bad as where you are now, and, as with Tennessee, there's a lot of natural beauty here to enjoy. But if you are looking at several states, and two of your main criteria for moving there are diversity and acceptance, you should be clear that you'd only be finding the second part here, and that, too, maybe not as fully as you'd like.
My father moved to NM with a civil engineering degree in the 70's without a job lined up. It took a little while but eventually he found a job in Santa Fe.
But it would be wise to have a job lined up ahead of time, that may dictate what cities you look at.
Oh, yeah, I had a job lined up in Alamogordo and we are enjoying it down here in the south-central NM desert. But I never would've come here without first having a job lined up. We still have a lot to see around here including the Indian petroglyphs. Check my spelling on that one, I know that's spelled wrong!
I also had a job lined up before I came to New Mexico. In this economy I think it's wise to do that.
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