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New Mexico Military Institute, home of the Colts, is a private high school located in Roswell, New Mexico. New Mexico Military Institute is part of the AdvancED Commission and has approximately 860 students and 16 varsity sports. New Mexico Military Institute Mission: To educate, train, and prepare young men and women to be leaders capable of critical thinking and sound analysis, leaders who possess uncompromising character, and leaders able to meet challenging physical demands.