The first Thor film finds Thor making some bad decisions and having to visit small-town Earth to regain his hammer.
See also: The Dark World & Ragnarok.
Jane and her team come upon Thor landing in the desert.
Source: MCU Location Scout
The entire town of Puente Antiguo was constructed atop a western-style movie ranch.
Erik and Thor go for a drink after Thor is released from S.H.I.E.L.D. custody.