Ian Gregor, a Federal Aviation Administration spokesman in Los Angeles, said the cause of the decompression wasn't immediately known, but some passengers on Flight 812 said there was a hole in the cabin.
"You can see daylight through it," a passenger identified as Brenda Reese told Sacramento TV station KCRA by cellphone.
Southwest officials said there were no injuries among the 118 people aboard.
Gregor said the Sacramento-bound plane landed safely at Yuma Marine Corps Air Station/International Airport at 4:07 p.m., less than an hour after takeoff from Phoenix Sky Harbor International Airport.
Passengers became aware there was a problem when they heard a noise and felt the rush of wind and oxygen masks started dropping in the cabin, according to Reese.
She said a few people passed out "because their oxygen wasn't working. It was scary."
Reese said flight attendants went around the cabin aiding passengers. Emergency medical technicians were on board the plane treating passengers after it landed in Yuma.
Gregor said an FAA inspector from Phoenix was en route to Yuma to investigate.
Gina Swankie, a spokeswoman for Sacramento International Airport, said Southwest was sending another plane to Yuma to take the passengers to Sacramento.
They were expected to get to Sacramento around 8:30 p.m. Friday, about three hours after their plane was originally scheduled to land in California.
"I want to get home and hold my three children," Reese said.
