The river was named in 1805 by fur trader François Larocque for the bighorn sheep he saw along its banks as he explored the Yellowstone.

[4] The upper reaches of the Bighorn, south of the Owl Creek Mountains in Wyoming, are known as the Wind River.

From there, the river flows through the Bighorn Basin in north central Wyoming, passing through Thermopolis and Hot Springs State Park.

Approximately 50 miles (80 km) farther downriver, the Bighorn River ends where it joins the Yellowstone.

North of the confluence with the Shoshone, the reservoir narrows as the river enters the Bighorn Canyon, where it crosses into Montana.