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When the territories now comprising the states of Arizona and New Mexico were first explored by Spanish Conquistador Francisco Vazquez de Coronado in 1542, he reported his findings on such territories north of Mexico were a "New Mexico". Since then, these territories were named as the Territorios de Nuevo Mexico(Territories of New Mexico).
When Mexico attained its independence from Spain in 1821, it kept this territories, until it lost them to the United States during the Mexican-American War of 1846-1848. These lands, which were mostly unsettled due to the harsh environment and hostile native tribes (Apache and Comanche raids were common until American occupation) became the Southwestern United States, but were kept as territories (meaning no 'State of the Union' status was granted until the late 19 and early 20 centuries). In the specific case of New Mexico, it kept its old name unchanged; only translated from Spanish to English.
Having encountered great wealth and high civilization among the Aztecs in the Valley of Mexico, Spaniards quickly turned their attention northward, hoping to find another Mexico. New Mexico acquired its name and its early European visitors and residents from this misplaced belief in its potential mineral wealth.
the real reason is that New Mexico got its state name by being ruled by the Spaniards and then being named the "NEW" MEXICO. the nick name was given because of its rich history and scenic beauty.