This caterpillar was small, about an inch long. As far as I can tell it matches the appearance of the Milkweed Tussock Moth Caterpillar, though it does not have the prominence orange or yellow hair. Apart from that, all the tufts of hair seem to be of the same form and it was found on a milkweed plant.
This caterpillar was eating a milkweed plant in a pasture in the foothills of the Sangre de Cristo mountains.
There was another individual nearby.