© John Elk. The Rocky Mountains extend in a northwest-southeast direction from the Brooks Range in Alaska, across Canada, and in a widening mass into Idaho and Montana and southward to north-central New Mexico. The Rocky Mountains region includes parts of Colorado, Idaho, Montana, New Mexico, Utah, and Wyoming. John Elk. The Rocky Mountains extend in a northwest-southeast direction from the Brooks Range in Alaska, across Canada, and in a widening mass into Idaho and Montana and southward to north-central New Mexico. The Rocky Mountains region includes parts of Colorado, Idaho, Montana, New Mexico, Utah, and Wyoming.