Growing up, we obliviously learned that they were treated horribly in the South. We also learned that the North wasn't that great either. Despite the absence of Jim Crow, there were still many discriminatory policies (redlining, blockbusting, etc.).
That being said, I don't recall learning about how they were treated out west. I've heard anecdotes about black families moving to California and being treated much better, but did this apply to most black people that lived there?
A lot of Midwestern and Western towns (especially small towns) had policies preventing African-Americans from settling there at all.
Sundown Towns is the expression you're looking for. This link mostly covers the Midwest, but it's a good rundown of the concept. I was surprised, clicking around the site, how many sundown towns are in Southern California despite Los Angeles' status as a destination in the Great Migration.
Sundown Towns seem to be less common in the Southwest, though. (Aside from California and Texas, which have plenty of entries in the linked database.) I'd be interested to hear what life was like for African-Americans in the Southwest during Jim Crow.