Sonora , officially Free and Sovereign State of Sonora , is one of 31 states that, with the Federal District, comprise the 32 federal entities of Mexico. It is divided into 72 municipalities; the capital city is Hermosillo. Sonora is located in Northwest Mexico, bordered by the states of Chihuahua to the east, Baja California to the northwest and Sinaloa to the south. To the north, it shares the U.S.–Mexico border with the states of Arizona and New Mexico, and on the west has a significant share of the coastline of the Gulf of California.