It's thought that Zack Snyder is filming Diana/Wonder Woman scenes as earlier set pics and video seemed to reveal architecture that would fit with Wonder Woman's home of Themyscira.
Warner Bros. has slated a Wonder Woman movie for a 2017 release starring Gal Gadot.
Fans and crew members posted news of New Mexico on various social networks.
Henry Cavill stopped at a local gym to get in a workout.
"Batman v Superman: Dawn of Justice" has a March 25, 2016 release starring Ben Affleck as Batman, Henry Cavill as Superman, Gal Gadot as Wonder Woman, Amy Adams as Lois Lane, Laurence Fishburne as Perry White, Diane Lane as Martha Kent, Jeremy Irons as Alfred, Jesse Eisenberg as Lex Luthor, Ray Fisher as Cyborg with Callan Mulvey, Holly Hunter and Tao Okamoto in new character roles for the film. Justice League is to follow directed by Zack Snyder as well.