I’m native who lives on reservation I pd my New Mexico state taxes and get them all back. How do I file this?

Yes native americans residing and working on their reservation can get their tribal income exempted from NM state taxes. 

 If you, your spouse, or both are members of an Indian nation, tribe, or pueblo and your income was wholly earned on the lands of the reservation or pueblo of which the individual is an enrolled member while domiciled on that reservation, tribe, or pueblo then that income is exempt from NM state tax.

In the NM state interview you will be asked about your tribal income.  If you meet the criteria you select yes and follow the prompts to exclude the income.