Utah State took a 27-25 lead with 2:06 left on a Jarod Jakubiak 28-yard field goal.
The Aggies had one last chance, but quarterback Buck Pierce's pass was intercepted by Triano Taulougo, who returned 44 yards for the game's final score.
"I just couldn't get the ball there," said Pierce, whose right shoulder was obviously bothering him. "I had to make a play. It's tough losing the final game."
Pierce injured his shoulder early in the fourth quarter after he was sacked.
New Mexico State ends the season 5-6 and 4-3 in the Sun Belt. Utah State finishes 3-8 and 2-5.
"We just got outplayed in the second half and I think we came out of halftime a bit flat," junior linebacker Jimmy Cottrell said. "You have to give Utah State credit."
Utah State took control of the game after trailing 12-0 at the halftime break. Turnovers hurt New Mexico State in the third quarter. Two fumbles led to two Utah State touchdowns and a 14-12 deficit.
The first turnover was a Muammar Ali fumble, which Utah State recovered at the NMSU 25 and after a personal foul penalty, the UtAgs had the ball at the NMSU 13. Three plays later and Chris Forbes scored from three yards out and Utah State trailed just 12-7.
New Mexico State caught a break midway through the third quarter when defensive end Greg Scaffidi forced a fumble and NMSU drove to the Utah State 24. But Pierce was hit from behind by John Chick and fumbled, giving the ball back to Utah State.
The UtAgs promptly went 63 yards on nine plays, capped by a 1-yard touchdown pass from Travis Cox to Jimmy Bohm to go up 14-12 heading into the fourth quarter. Bohm also caught a 12-yard pass on the drive.
Utah State quickly made it 21-12 after stopping NMSU, going on a 4-play, 60-yard drive to take the nine-point lead with 12:24 left in the game. Forbes capped the drive with an 8-yard scoring run. Forbes had a 17-yard run on the drive and NMSU was flagged for a 15-yard personal foul penalty.
Another Aggie turnover led to a Utah State field goal with 10:02 left. Pierce was hit by Kelly Poppings, fumbled and Frank Maile recovered it.
The Aggies held and Jakubiak kicked a 29-yard field goal for a 24-12 lead.
"The turnovers hurt," NMSU head coach Tony Samuel said. "Utah State did some good things on defense and blitzed more than we thought they would."
Then New Mexico State came back and nearly won the game. NMSU went 77 yards on four plays to cut the lead to 24-19 as Pierce hit Paul Dombrowski with a 45-yard touchdown pass with Dombrowski doing much of the work, going the final 30 yards.
Utah State then gave NMSU the ball at the UtAgs 39 as punter Ben Chaet was stopped on a 4th-and-2 on a fake punt.
Dombrowski hit Jared Quick with a 37-yard pass to the Aggie 2-yard line, which was followed by a 2-yard scoring run by fullback David Romaka. New Mexico State went for two points but failed and led 25-24 with 5:38 left in the game.
Utah State came right back and went 53 yards on 11 plays, capped by a Jakubiak 29-yard field goal to go up 27-25.
"We had some momentum," Cottrell said. "We needed to come up with a stop. It's a disappointing loss. New Mexico State finished with 447 yards of total offense, while Utah State had 402.
"We competed hard and the turnovers were the game in a nutshell," Utah State coach Mick Dennehy said. "We capitalized on some opportunities and we were balanced on offense."
Pierce finished his career with 295 yards passing, completing 21-of-35 passes in the process. Quick had five catches for 130 yards. Cox went 23-for-27 for 201 yards. Forbes ran for 131 yards on 25 carries.
"Utah State established the running game and that was the difference," Samuel said.
New Mexico State took a 12-0 led into halftime as its defense forced three turnovers, which they turned into all the points. The Aggies forced two fumbles and had an interception.
The Aggies scored on two Ryan Guardia field goals of 34 and 40 and a 9-yard scoring run by Pierce, his second rushing touchdown of the season.
New Mexico State went 80 yards on four plays in 59 seconds near the end of the half to take the 12-0 lead.
The score was set up by a Shukree Shabazz interception in the end zone as he picked off a Cox pass intended for Kevin Robinson to stop a Utah State drive that had seen them get inside NMSU's 40.
On the 80-yard drive Pierce hit Quick with passes of 21 and 37 and Utah State was called for a pass interference to set up the score. The Aggies went for two on the final score, but Pierce was stopped at the 1-yard line.
Guardia hit both field goals in the first quarter as Utah State turned the ball over twice inside the Aggie 30.
"We got points out of the turnovers and that's what you want," Samuel said. "We would have liked to have gotten more. But we did a good job in the first half of getting turnovers."
The first one came as Richard Glover forced Chaet to fumble, which NMSU corner Gill Byrd recovered. The Aggies promptly went 51 yards to the UtAgs 17 before settling for the first field goal.
On Utah State's next possession, Utah State's Robinson was hit and fumbled, which Aggie safety Dominique Jacobs recovered. The Aggies went 34 yards down to the Utah State 23, again having to settle for a Guardia field goal. Guardia also missed a 43-yard field goal in the second quarter.
"We should have had more points," Pierce said. "We just didn't execute when we had the chances."
New Mexico State outgained Utah State 246-178. Pierce completed 11-17 for 143 yards and ran for 54 yards on six carries.