Shademaster is considered one of the best varieties of honey locust, but it does have two characteristics that it's important to know about before you add it to your yard: It's one of the last trees to leaf out in the spring and one of the first to lose its leaves in fall.
However, June is very early for this process to start, even in a hot-weather area. So I'm guessing that your problem may be due to insects, which often cause leaf loss on honey locusts.
Check the leaves on the tree, especially the undersides. You may want to take several to a local nursery with a knowledgeable staff and see if they can help you identify the pest.
Spider mites and aphids are two possibilities. Leafhoppers, galls, and webworms can also be troublesome on honey locusts. Borers can, too, although they don't show up on the leaves; they enter the tree through the bark. So check for trunk damage (from lawn mowers, string trimmers, etc.), too.
You should also contact the New Mexico State University Extension Service. (You can find a local office at http://cahe.nmsu.edu/county. The experts at these offices will know what particular problems are plaguing trees locally.