Reverend William Kelly founded the parish as St. John the Baptist in 1867 and erected a frame church.

After Pope Leo XIII established the Diocese of Cheyenne in 1887 the church was rededicated to St.

[2] Prominent Wyoming builder Moses Patrick Keefe was responsible for constructing the cathedral.

The 135-by-70-foot (41 by 21 m) cathedral is in the Gothic Revival style and features two side galleries and a rear organ loft.

In 1962, the parish added a structure east of the cathedral to house meeting and activity rooms at a cost of $200,000.