A canyon or gorge is a deep cleft between escarpments or cliffs resulting from weathering and the erosive activity of a river over geologic time scales. It may also refer to a rift between two mountain peaks, such as those in ranges including the Rocky Mountains, the Alps, the Himalayas, or the Andes. Usually, a river or stream carves out such splits between mountains.

Formation of Canyon: 

• Most canyons were formed by a process of long-time erosion from a plateau or table-land level. The cliffs form because harder rock strata that are resistant to erosion and weathering remain exposed on the valley walls.
• Canyons are much more common in arid than in wet areas because physical weathering has a more localized effect in arid zones. The wind and water from the river combine to erode and cut away less resistant materials such as shales.
• The freezing and expansion of water also serve to help form canyons.
• Water seeps into cracks between the rocks and freezes, pushing the rocks apart and eventually causing large chunks to break off the canyon walls, in a process known as frost wedging. 
• Canyon walls are often formed of resistant sandstones or granite.
• Example- Grand canyon of Colorado.

Hence, we can say that the canyons are formed in the Desert region.