Download ArcGrid 1/3 arc-second data from
https://viewer.nationalmap.gov/basic/?basemap=b1&category=ned&q=&zoom=10&bbox=-107.55203247,38.85788953,-106.02355957,39.64482504&preview=&avail=DEM 1/3 arc-second&refpoly=
(hit "find products", use "footprint" link to view on the map, then click "download")
We'll start with https://prd-tnm.s3.amazonaws.com/StagedProducts/Elevation/13/ArcGrid/n40w107.zip.
Extract the zip file.