Despite being almost certain to win the nomination, McCain has struggled to convince conservative Republicans suspicious of his views on immigration and taxes.
"Even when the contest was close and our disagreements were debated, the calibre of the man was apparent," Romney said with McCain at his side at a ceremony in the northeastern city of Boston.
"Right now, the Democrats are fighting," he said. "Let us come together and make progress while they're fighting."
Huckabee maintains challenge
If Romney's 282 delegates are added to McCain's 822, it would give him 1,104, putting him close to the 1,191 needed for the nomination.
Many conservatives oppose McCain because of his more centrist views on illegal immigration and for having originally voted against the Bush administration's tax cuts.
He still faces competition from Mike Huckabee, the former governor of Arkansas, who has picked up the support of some conservatives who had been backing Romney.
"This election should be about choices and voices, and not a coronation. Until someone receives 1,191 delegates, the verdict is not in," Huckabee said after Romney backed McCain.
Clinton said in a statement she was "proud to have earned the support of New Mexicans from across the state".
|Clinton supporters had more to celebrate|
after her New Mexico win [AFP]
She added that she had been awarded 14 of the state's 26 delegates to the party's nominating convention this summer.
Obama had won the last eight nominating contests, gaining valuable momentum.
The former first lady and New York senator portrayed herself as a fighter and Obama as someone who does not offer solutions.
"That's the difference between me and my opponent. My opponent makes speeches. I offer solutions. It is one thing to get people excited. I want to empower you," she said.
The two Democrats are now looking ahead to the Wisconsin primary on Tuesday before the next key date, March 4, when Texas and Ohio hold their nominating contests.