Democrat Hillary Clinton won Arizona but lost to her rival Bernie Sanders in Idaho and Utah.
Meanwhile, Republican Ted Cruz also took Utah.
The result means that both Trump and Clinton held their leads as Arizona, due to its large population, is a big win, which balances out losses in smaller states.
The state was receptive to Trump's anti-immigration rhetoric, with polls putting him ahead with conservative voters.
The result comes in the wake of the Brussels attacks, which Trump seized on to make further calls for tighter border security
But Clinton pushed back on the claims, urging prudent leadership.
"We live in a complex and dangerous world," Clinton said. "And we need a commander-in-chief that can provide leadership that is strong, smart and above all steady in taking on these threats.