The Garden of the Gods is a place just north of Los Cerrillos where upturned fins of Dakota Sandstone appear. This is a continuation of the Dakota Wall that spans the country north-to-south, from Canada to Mexico. This area got its name because of its similarity to the Garden of the Gods in Colorado Springs. While this clump of upturned sandstone fins is not as big and spectacular (or as famous) as its namesake, it is the same formation and it appears this way for the same reason. When the Ancestral Rockies were first pushed up some 65 million years ago during the Laramide Orogeny, that upthrust pushed up through the layers of rock in the ground to reach the surface and beyond. The Dakota Sandstone was pretty thick and hard, and slabs of it simply broke off and turned upright in the movement of the ground. I haven't yet done the geological research to see if this particular outcropping was pushed up 65 million years ago or more recently (27 million years ago) in the upthrusting of the Sangre de Cristo Mountain block.
More spectacular outcroppings of the same Dakota sandstone formation can be seen in the Stonewall area of Colorado, Garden of the Gods in Colorado Springs and the Flatirons in Boulder, Colorado.