Coconino National Forest. The Coconino National Forest is one of six National Forests in Arizona - the others are: Kaibab, Prescott, Tonto, Apache, Coronado, and Sitgreaves. Coconino is the word the Hopi use for Havasupai and Yavapai Indians. The Coconino National Forest was so named because it is located in the central portion of Coconino County.