The couple lost their daughter in the 2012 Aurora theater shooting, and now travels the world comforting mass shooting victims.
"She's never going to see her child walk the stage, graduate, get engaged, get married, or have a child," Sandy said. "Their futures are destroyed, and that's upsetting."
Their daughter was just 24 years old when she died in the mass shooting. Sandy says Jessi wanted to become an aspiring sports reporter.
"She was living her dream. She had one semester left, and she had just moved into her new apartment. We were really proud of the young woman she was becoming," Sandy said. "I'm told that I started screaming. I don't remember anything from that point on."
Santa Fe marks the ninth town the couple has been to following a mass shooting.
"We don't know what each one feels, but we know what they're going through," Lonnie said. "We know that they're in shock right now."
The Phillips say they come to share experiences and provide comfort to families who face similar feelings and struggles they once faced.
"You will be attacked by conspiracy theorists," said Sandy. "You will have people find your Facebook pages and your Twitter pages, and say horrible things to you."