The New Mexico Route: Use the Red Rock Scenic Byway to leave Phoenix, and switch to Route 89A at Sedonia. Follow Route 89, which runs just east of Grand Canyon National Park, to Route 160. Then, to leave Arizona, use Routes 87, 260, 277, and 377. You’ll drive through the Tonto and Apache-Sitgreaves National Forests. Hop onto Interstate 40, past Bluewater State Park, then Interstate 25, which you’ll take through Colorado Springs and to Denver.