CO - I'm jealous! Went to Denver & Aspen for a wedding last year and thought it was all gorgeous!
I'm on my phone, so can't see your posts when I reply (this is my excuse for my rambly replies!).
I think not having a car is a bit of a false economy, as you're not really giving life a chance without it. I would certainly go bananas without a car and I can walk to supermarkets & a cinema & parks & restaurants & preschool!
As an example, a friend in London suffered from anxiety for years. By her early 30s, she had claustrophobia and couldn't use the tube. Too anxious to cycle, she could only use the bus (and walk obviously!). London became super hard for her to navigate - getting from her flat (zone 5 north west London) to her job (by London bridge) by bus took her hours each day. Her social life became curtailed (bussing around again). She eventually moved to the south coast.
Trying to be a pedestrian/cyclist only in a western state (am assuming your town was not built/designed before the car!) is like living in London without using the tube, possible but super hard. No wonder you hate the place!
What happens when you want to travel to a friend's house? Or to a class/activity with your DD? Or preschool when she's old enough? I've found Americans to be quite welcoming (but I'm Irish and not shy about chatting to randoms! Something I found the English to be less into when I was in London) but not having a car would make following up on friendship leads harder (especially when extreme weather comes into play, eg this morning I drove my ds to preschool, as we had a load of black ice and the prospect of him slipping and sliding down the road while I pushed dd in her buggy was too much so into the car we hopped...after I had worked up a sweat deicing it!).
You can use your car-less-ness as an excuse to not like the place snd that's totally your own business. But make sure your DH doesn't hold it against you if you do move back having not really given life there a chance.
As an aside, I've found being a Sahm my 'cross to bear' as my irish mammy would say. As my thing is that if I was working full time I'd get 5 mins of holidays a year and that wouldn't be possible with trips to ireland/time off for sick kids etc so i don't want to work outside the home while the kids are young (DH works comedy long hours so having one of us here makes family life a lot happier). I'm getting used to it but I'm having to really work at it. I always worked at quite cool companies (I was a badly paid meedja type in London) and it's only now that I realise so much of my adult identity was wrapped up in that. I've made some good friends but I miss interacting with people with no kids around! So I'm thinking of developing a hobby (being addicted to yard & estate sales and loving vintage stuff) into a small etsy store and blog so that I can develop something outside of my family.
Anyway, rambles from me! I just feel for you in your situation. Being a foreigner is hard (and I've lived as a foreigner all of my adult life!) but does get easier. This is what I'm telling myself...
And NM is amazing. I was near Las Vegas (awesome small town) and went to Santa Fe and Albuquerque regularly. Taos is gorgeous. I like Los alamos as I've a very dear friend there. I've not been back for too long (8 yrs) but just driving around is beautiful and there are loads of small, out of the way places. I hope to get back there in the next couple of years. Though CO impressed me enough that I want to go there with DH and the kids too (once the kids are old enough so that we can do some hiking and the like).