Cheyenne was first inhabited by American Indians of the Cheyenne tribe, and was settled by whites in 1867 with the arrival of the Union Pacific Railroad. The early residents were railway workers, cowboys, and prospectors, including US robbers Jesse James and Butch Cassidy. In the 1870s it was on the route to the Black Hills goldfields, and later developed into a shipping point for cattle from Texas, when rich cattle barons settled here.

The city is the scene of the world's largest outdoor rodeo, the Cheyenne Frontier Days, which has taken place since annually since 1897. In the historic downtown area the Old West Museum (1978) has a collection of stagecoaches, and the Wyoming State Museum depicts the history of the plains Indians. Outside the State Capitol (1887) is a statue of US women's suffrage activist Esther Morris, through whose efforts Wyoming became the first state to give women the vote in 1890. Wyoming state governor Nellie Ross was the first woman governor in the USA (1925-27). The Francis E Warren Air Force Base became the headquarters for the first Atlas intercontinental ballistic missile base (1957).