There are several places within Colorado state government to find military records. Historic military records are housed at the Colorado State Archives. These include the records of military personnel from Colorado who served as Colorado Volunteers or Colorado National Guard members. At the archives you can find rosters, muster rolls, service records, administrative files, special and general orders, record books, and much more. You can also search their online indexes for Colorado Volunteers registration (1861-65), Colorado Civil War casualties, Colorado Volunteers in the Spanish American War, Colorado Veterans’ grave registration index, Colorado Vietnam War casulaties, and more. (For historical background on the Colorado Volunteers, see this article from the Archives.)
More recent Colorado National Guard records can be obtained through the Dept. of Military and Veterans Affairs. See their website for instructions on obtaining records.