Pueblo police responded to the Comanche Power Plant just after 4 a.m. and found the man yelling, the department said in a Facebook post.
Crisis negotiators were called and began trying to coax the man down.
Pueblo firefighters also responded and climbed up a ladder and eventually got him to climb down. The unidentified man had a pair of boxer shorts that he put on before getting onto the ladder.
Investigators got in contact with the man's father who said he wasn't sure how his son ended up in Colorado. He said his son has struggled with drug abuse, police said. Pueblo is about a 90-minute drive from the New Mexico border.
Paramedics took the man to a hospital where doctors evaluated and treated him.