Can I enter federal and or is it trespassing?

All of Arizona, except for some Mexican Government land grants prior to the the Treaty of Guadalupe Hidalgo is Federal land. The Federal Homestead Act allowed for privatization of lands that are surveyed in 160 acre parcels by people willing to "improve" the land by farming and at the minimum building and living in a residence. The best lands were claimed this way, but barren lands went unclaimed so they remain in Federal custody. It is no longer possible to homestead. As to fences, those are erected by private owners to keep wanderers out of their private holdings, generally there are no fences erected to prevent access to Federal lands. for grazing lands, fences are put up by the government (using the money collected for grazing fees) so that the grazing animals don't wander onto private lands. Those fences are not to keep people out. There is essentially no access restrictions on Federal lands. Putting Federal lands to commercial exploitation requires a lease (as the Bundy's found out). Camping in one location for more than 30 days is not allowed, so that you cannot make Federal land your permanent residence. But you can change where you are squatting and in that sense wander more or less indefinitely. "Snow birds" are retirees that visit Arizona in the winter time and camp out on Federal lands often living in motor homes. Examples of Federal land use that is leased out is grazing rights and mineral rights (for mining or oil). Since it is public resource, no person can make exclusive claim, it is shared with all, with government administration. Some of the land is protected as National Forest or National Parks which further restricts use (no weapons/hunting in Parks or Forests). Yes, the BLM, Forest Service, Park Service and other Federal agencies all have police authority and regularly patrol the land and will arrest violators. Those policemen are called "Rangers".

As to film making, yes in the early film industry Hollywood used public lands for settings. but just as you have free access, you will discover that others do to! so once the city folks know about you shooting a film, they will come out and wander through your sets making it impossible to shoot. If you want EXCLUSIVE use of a piece of countryside, then you have to pay fees. Then the Rangers will assist you in crowd control. Use of National Parks for films requires fees as well, but that is usually waived if you don't use tripod mounted cameras, or require exclusive use of area (ie crowd control).

yes, Arizona residents hike and camp on federal land all the time