Native American Plains tribes initially occupied Cheyenne city. The area was then used as a campsite by Major General Grenville Dodge and his troops as the Union Pacific Railroad was built. In 1867, the Major, who had also been appointed as chief engineer of the railroad, established a terminal town in the area called Cheyenne.

In 1867, Fort D. A. Russell was built to protect the road construction crew. Soon after, merchants, real estate speculators, tradesmen, and even gamblers saw the opportunity and converged in the city, hoping to profit from the large construction project. The Dakota territorial legislature accepted a town charter in the same year, and Cheyenne became incorporated with H. M. Hook as the first mayor.

By the end of the year, the small town had over 4,000 people. Within a year, Cheyenne had become a stable community with churches, a school that had about 114 pupils, and a little over 300 businesses had taken root. Cheyenne was made the seat of Laramie county in 1868, and by 1870 it became the center of prosperous ranching. By 1882 Cheyenne was considered the wealthiest city per capita globally and named the capital city of Wyoming in 1890.

General Grenville Dodge named the city of Cheyenne after an Indian tribe that roamed the town, known initially as the Shey' ah' nah.' He initially received criticism from the locals for his mispronunciation of the word. Still, in the end, his two-syllable version of the name was acceptable, and it remained what we now know as Cheyenne.