I have success here in the high desert by placing clear plastic or glass containers, sometimes cut water gallons, to create a mini green house. I place rocks on top to provide a little shade and keep the wind from stealing them. Also, clay pots work well if you remove them when the sun is lower. As a bonus it keeps critters from eating the tender young shoots. When the plants get too big for the contained, you have to harden them off just like you would from a normal greenhouse.
Also consider species that grow native in your area or other desert areas like tepary beans, Indian carrot (lomatium), Indian potato (sunchokes), sunflowers, Indian corn (Hopi, Navajo, etc.) Goji berry, salsify, seaberry, sorghum, teff, amaranth, hollyhock. Those are the ones that come to mind, just beware they can be invasive.
