Southwestern Kansas with Yucca in bloom and the Cimarron River in the trees in the background. The headwaters of the Cimarron River is in NE New Mexico in a place called Johnson Canyon. It then goes through a small portion of New Mexico into Oklahoma and then a small portion into Colorado and Kansas before continuing on in Oklahoma. As for the river in the Panhandle of Oklahoma north of where I grew up, the river was generally underground for the most part unless there was flooding.