CSWR and Zimmerman Library have a number of books with collections of Spanish documents for various historical topics. They contain transcribed, typed and printed material that has not been translated nor altered, hence the term documentos ineditos (check for them by searching Worldcat for the keyword = documentos ineditos). Some of these books are online!
Generally the documentos ineditos come from the AGI, in Spain, but others are from archives in Mexico and Latin America. Some deal with events in Colonial era Spain and in the New World - for example Columbus, Cuba, Mexico, Cortes, Yucatan, Peru, the Philippines, Council of the Indies, early government administration, laws, religion, etc. They contain a few documents for NM and the Southwest - see them noted in the guides by Ernst Schafter and Benjamin M. Read, as noted below. Some of the sets have an internal order or list of contents included, but not all are easy to follow. Patience is advised when using them.
Below are a few examples:
One set is Coleccion de Documentos Ineditos para La Historia de España, by the Real Academia de la Historia, Madrid, 1842-95, 113 vols. at CSWR DP3 C69. Online. For a general two volume guide to these 113 volumes, see Catalogo de la coleccion de documentos ineditos para la historia de España, by Julian Paz, Madrid, 1930-31 at CSWR DP3 C693 1930. Index Vol. 1 has material on the Colons, Cortes, Mexico, Peru, etc.
For guide to documents pertaining specifically to the U.S. area in the above 113 volume set see Index of Titles Pertaining to America in the Coleccion de Documents Ineditos para La Historia de España, by George Winship Parker, Boston, 1894 at CSWR DP3 C69 Index. Online.
Maria Lourdes Diaz-Trechulo Spinola had also written America en La Coleccion de Documentos Ineditos para la Historia de España, Sevilla, 1971 located in Zimmerman Library at ZIM Z1601 D46. Online. It is a catalog of the documents in the above 113 volumes which relate to the New World.
Another set for the New World is Coleccion de Documentos Ineditos Relativos al Descubrimiento, Conquista, y Colonizacion en America y Oceania, by Joaquin F. Pacheco and Francisco de Cardenas, et. al., Madrid, 1864-84, 42 Vols. at CSWR E123 C69. Online. Ranging from 1251-1796, they come from various archives in Spain, but particularly the AGI, and deal with a variety of New World themes. The 42 volumes have no consistent index, and badly need a guide. See Vol. 33 for the chronological order of documents for years 1474-1660.
A follow up to the America y Oceania set was a new series entitled - Coleccion de Documentos Ineditos Relativos al Descubrimiento, Conquista, y Organizacion de las Antiguas Posesiones Españolas de Ultramar, by the Real Academia de la Historia, Madrid, 1885-1932, 25 vols. at CSWR E123 C70. Online. It is divided into sections for the Yucatan, Philippines, and Cuba, spiritual and temporal affairs, New World laws, pleitos of Colon, papers of Gabriel Fernandez Villalobos, vaticinios on the loss of the Indies, and documents from the Council of the Indies. (Council section has its own index).
For a two part guide covering both the above earlier 42 volumes and the 25 volume sequel, see Indice de la Coleccion de Documentos Ineditos de Indias, ... y de Ultramar, by Ernst Schafer, Madrid, 1946 at CSWR E123 C701. The Schafer index has a person and chronological document date guide, which includes a few New Mexico figures such as Oñate and Vargas.
Also, Chronological Digest of the Documentos Ineditos del Archivo de las Indias, by Benjamin M. Read, Albuquerque, 1914 at CSWR E123 C71. Online. Covers selected documents from the above later 25 volume set that relate specifically to Mexico and the Southwest.
An additional set of New World documents is Nueva Coleccion de Documentos Ineditos para La Historia de España y de Sus Indias, by Francisco de Zabalbura at CSWR DP3 C692, 6 Vols. Online. Covers the House of Austria and topics in Spanish America to 1830. It has an internal listing.