Big Bend Ranch State Park
This slot canyon carved its way through a mesa as it makes its way to the Rio Grande. If there has been recent rain, water can accumulate in some areas making it unpassable unless you want to get in scary water. This park has very good trail guides they hand out at the visitor center. Here is an online trail guide from the State Park for the Closed Canyon.
Below: From left to right, inside Closed Canyon and a view from the Rio Grande side