The Caballo Mountains, (Spanish: "horse") are a mountain range located in Sierra and Doña Ana Counties, New Mexico, United States. The range is located east of the Rio Grande and Caballo Lake, and west of the Jornada del Muerto; the south of the range extends into northwest Doña Ana County. The nearest towns are Truth or Consequences and Hatch.Most of the Caballo Mountains are located on land owned by the Bureau of Land Management.