It is indeed Arizona. 

 

The Painted Desert was named by a Spanish expedition under Francisco Vázquez de Coronado during his 1540 quest to find the Seven Cities of Cibola. He located these some 40 miles (60 km) east of Petrified Forest National Park. Finding the cities were not made of gold, Coronado sent an expedition to find the Colorado River to gain supplies. Passing through the wonderland of colors, they named the area El Desierto Pintado (“The Painted Desert”).

 

Travellers who decide to visit one of the most amazing deserts of the planet will be able to observe an unusual phenomenon. Sometimes, the desert air is heated to such a degree, that mist of pink or purple is generated from the dust. It’s a great experience to watch this haze. Researchers found out that millions of years ago, a significant part of the current desert was covered with dense forests.