Some description from the Cornell website: "Black-tailed Gnatcatchers are tiny, high-strung songbirds of the arid southwestern U.S. and northern Mexico. They’re at home in parched arroyos and thorny scrublands featuring mesquite, creosote bush, ocotillo, and cactus, where they flit among thorns and leaves to grab insects and spiders. These dark-gray birds have a neat white eyering and flashes of white on the underside of the tail. Males sport a black cap in summer. They form lasting pairs and protect the same patch of scrub year-round, scolding intruders with a scratchy zhee-zhee-zhee."
Photographed in Tucson and west of Phoenix at the "thrasher spot":
The under tail pattern is diagnostic. Blue-gray and even Black-capped hang out in AZ so you need to be careful.