New Mexico is around the same size as Finland.

Finland is approximately 338,145 sq km, while New Mexico is approximately 314,310 sq km, making New Mexico 92.95% the size of Finland. Meanwhile, the population of Finland is ~5.6 million people (3.5 million fewer people live in New Mexico).
Tip: This to-scale comparison of Finland vs. New Mexico uses the Mercator projection, which distorts the size of regions near the poles.