What is New Mexico's Annual Statement of Pass-Through Entity Withholding?

An entity that has had tax withheld can't pass a withholding statement directly to its owners, members, partners, or beneficiaries. The entity must first file and report the tax withheld on its New Mexico income tax or annual information return. After filing and reporting the tax withheld, the entity may then pass the tax withheld to another entity by issuing the owner, member, partner, or beneficiary an annual withholding statement.

Since you have had tax withheld by a pass-through entity on your behalf, you'll need to attach Form 1099-Misc or RPD-41359.