North American Planet Zoo Animals that live in Deserts: Pronghorn, Jaguar, Puma, Black tailed Prairie Dog
Did I forget any? (except Exhibit Animals)
American Bison. They ranged into Mexico until the 1920's. Some still live in Arizona, they just opened a lotto to win spots to shoot bison on the north side of the Grand Canyon. The population there has reached a significant density the creates substantial concern for local tribal groups, and the National Parks Service about the preservation of certain archaeological sites.
They have found fossils that are less then 5,000 years old throughout the country, from Washington State (North of Oregon) to Pennsylvania. Along with alleged sightings by map makers ( in the 16th century, and Thomas Jefferson in the late 18th century. They did range at least as far north as Central California and Colorado in the 1800's.Jaguars do at least live in Arizona. Don't know if they also live in other US States. But as far as I know nowadays they are very rare in North America