When I get water deprived I go to Nambe Lake and Falls. Admittedly it is not too close to you. But some of the lakes in NM are formed by damming rivers that irrigate quite few a few fertilized fields before they get to you -- while Nambe Lake has crystal clear water down from New Mexico's highest mountains -- the Sangre de Christos.
The lake can be approached by hiking trails from various locations including Santa Fe or you can drive up there from 503 paying the Nambe Pueblo a nominal fee.
The Falls are approached from below. I wish I had a photo. At the end you wade though the crystal clear stream with high rock walls on both sides. If you are brave you can climb up two mini falls to get to the pool below the longest fall. I have only done one and I heard somebody say "That old man is going to kill himself."
Admittedly, the water is cold. It is not for sissies.
It does get people -- but it is not part of any state or federal system -- so it is surprisingly uncrowded except for July 4th when the Pueblo has a festival.
For a photo, go here
Nambe Falls pictures from waterfalls photos on webshots