The Rocky Mountain Club was incorporated in New York City as an "Eastern Home of Western Men" with the purpose to "create good-fellowship among the members and advance the interests of the Rock Mountain States."

The original directors were: W. B. Thompson, A. J. Seligman, John Campbell Cory, B.

Key dates in the history of the club include: The Club was highly critical of Woodrow Wilson for not entering the war against Germany earlier.

Once Roosevelt obtained permission from the U.S. Congress to form a volunteer Army to help in France, Major Burnham was enlisted by the Club to raise the troops in the Western states and to coordinate recruitment efforts.

Wilson ultimately rejected Roosevelt's plan and the volunteer Army disbanded.