This was inspired by yesterday's excellent question about elves and the discussion of American Indian beliefs. When I lived in Albuquerque I encountered a lot of Anglos and Hispanos who would tell me in no uncertain terms that there were spooky things out on the rez. Though the Euro-American skinwalker is pretty different from a yee naaldlooshii who gained shapeshifting powers through breaking taboos, it's clearly borrowed from Navajo witch beliefs.
So basically: Why have some of these beliefs crossed the cultural boundaries? When did they cross over, and what was the context? I'm interested specifically in the Southwest because my impression is that that's where there was more borrowing, but if similar cases have happened elsewhere in North America I'm interested in hearing about that too.
Great question - with as many answers as there are tribes and various regions. Situations vary from one to the next, so generalizations will not hold true everywhere. That having been said, critical mass and a willingness or opportunity to interact is pivotal. In other words, if the Native population survived in sufficient numbers to have numerous points of contact and to maintain indigenous, pre-contact oral traditions, the first factor (i.e. did the tradition survive so it could be communicated to the new arrivals?) would be in place. Then there would need to be a willingness to communicate and for the new arrivals to be willing to listen.
In the Great Basin, I have been impressed by what did not diffuse from the indigenous population to the new comers and how some popularized invented traditions were attributed to Native Americans, based on very little if not outright fabrication by European American writers. Thus, the important pai'unga - the Northern Paiute water baby - is little known outside the tribe. The sacredness of Cave Rock at Lake Tahoe - of considerable importance to the Washoe - was largely unknown to European Americans as was the story of shamans using their power to walk across the underwater road that linked the east and west shores of the lake.
At the same time, fanciful water monsters inhabiting Tahoe and Pyramid Lake were less based on Native American tradition and more on early writers who imagined that the Native Americans should have these traditions and therefore they did. These stories became popular with the European American population - not as a matter of belief but rather as a quaint notion worth repeating.
I can't think of a good example of actual Native American traditions in this area diffusing into the traditions of the new arrivals. This may have to do with the limited and reduced populations of the Washoe and the Northern Paiutes, but it may also have to do there being less interaction than what you describe in Albuquerque and in other parts of the Southwest.
I recommend the many volumes of the Smithsonian Handbook of the American Indians as a source to explore the many possibilities in the various regions.