The Colorado Plateau has dozens (hundreds?) of slot canyons like Antelope Canyon. That entire region has been lifted 2-4 kilometers into the air, probably when the Rocky Mountains were uplifted between 70-40 million years ago. As the Colorado River has been cutting down through the plateau, all the tributary rivers and creeks have cut down to match the level of the river. That includes tributaries like those that flow through Antelope Canyon, which only see water occasionally.