Study of the shallow depressions of the Southern High Plains of eastern New Mexico shows that they are the result of alternate periods of leaching and wind deflation and not of collapse into the underground or local subsidence in the Pliocene sediments. During wet periods of the Pleistocene the calcareous cement of the Ogallala formation was destroyed, during succeeding dry periods these locally leached areas suffered wind deflation. The depressions are located along broad shallow troughs which involve the “cap rock” of the Plains in a manner not yet clearly understood. Evidence suggests that the “Pliocene cap rock” may not have the value as a stratigraphic horizon that is usually attributed to it. The Cuneva depression, a true collapse depression active within historic times, is described.