The move reunites him with ex-Gophers head coach Richard Pitino, who was fired after the 2020-21 campaign.
Mashburn averaged 8.2 points per contest and started in eight of his 29 appearances with Minnesota last season. He's the son of former NBA All-Star Jamal Mashburn Sr., who was coached by Pitino's father Rick at Kentucky.
New Mexico is coming off one of its worst seasons in program history. The Lobos finished last in the Mountain West Conference with a 1-8 mark as the team stumbled to a 6-16 overall record in 2020-21.