I agree with the possibility of it being in the Great Basin, the SP caboose suggests it is an SP train being helped. There was a helper district in eastern Nevada (Montello-Wells?) as well as the Modoc, but the Modoc typically just kept piling on cab forwards and Mikes were typically limited to locals.

I would surmise that instead of a joint helper operation, this is instead an example of SP leasing the UP engine. I've seen SP steam locomotive division assignment lists published over the years. The number 3263 seems familiar, perhaps it was assigned to the Salt Lake division?