Growing fruit trees in the desert southwest is really challenging, and aside from citrus, stone fruit trees (peaches, plum, apricots) and apples and pears are suited only to areas that have sufficient night chilling in the winter to produce reliable fruit.
What does do well here, however, are fig, pomegranite, pineapple guava and loquat plants/trees. They are not fussy about the heat and have few pests. Their fruit is delicious and pomegranite juice is now considered an important source of antioxidents.
Black mission fig trees are a good variety to try.
Pomegranites form a large, arching bush. Make sure you purchase a fruiting variety; Punica granitum is ornamental. 'Wonderful' is the most popular cultivar.
Pineapple guavas make a large bush/small tree. The fruit is quite tart, and is ready in December when they fall to the ground. The spring flowers are edible.
Loquats are a large bush or small tree. The fruit is very sweet, somewhat like an apricot.