Arizona has a state-of-the-art water portfolio that uses lots of reclaimed water and is not reliant on micro or even macro-climate trends. A megadrought has impacted the area for the last few decades and only now are Arizona cities talking about the needs for conservation and possibly cuts in the next decade or so, but if climate models hold up the drought will be over in that time frame anyway.
edit: I think I might be wrong, looks like China has done significant waterworks across their country.
1 oil barrel is 42 gallons and costs around $75 today. I pay about $6 per CCF of water which is 748 gallons. It might be worth doing this with oil, but even if you scaled it up, it would be hard not to have the transport cost more than the actual water.
Of course Arizona doesn't really have that option. But California does, and Arizona already sources water from the Colorado River, which California does too.
Anyways. I think moving California off the Colorado River would do a lot to ease the water problems in the southwest.