My family is planning to visit New Mexico this summer, So I'm looking for a good wildlife park where you can see lots of wild megafaunas and cool animals
Wildlife Park as in a zoo or a park with animals, like a state or national park?
ABQ Biopark has the Zoo, Aquarium, and Insectarium, along with a nice botanical garden. The zoo is a separate ticket from the Aquarium, Insectarium and gardens. Each place itself is only worth a few hours, but combined you can do nearly a day at the ABQ Biopark. The zoo has most of the main megafauna type animals, elephants, lions, tigers, chimps, gorilla, orangutan, etc. Their penguin house is done really nicely, as is the reptile house and the separate amphibian house. Most of the main habitats are adequate, but nothing particularly special.
The zoo offers AZA reciprocity discounts, if you have an AZA Zoo membership.
Unfortunately we did not get to go to any of the state or national parks in the ABQ/Santa Fe area last year when we were there as the main ones were closed due to the fires.
You can read my reviews of the Zoo, Aquarium, and BUGarium here:
ABQ Biopark Zoo
ABQ Biopark Aquarium
ABQ Biopark BUGarium