Well today The Department of Defense declassified a set of documents that have been named the UFO Files. 162 files have been released and here are the ones for Texas.
In July, 1947, a UFO supposedly crashed during a thunderstorm near Roswell. The military investigated and identified wreckage as being from a "UFO" but then changed their story, claiming it was actually a weather balloon. Something similar happened in 1974 not far from Presidio, Texas in Mexico.