Permanent exhibits include Western horse-drawn carriages and wagons, the history and memorabilia of Cheyenne Frontier Days rodeo celebration, local history of Cheyenne, pioneer artifacts and clothing, and Western and folk art.

The saddle which Danks won in CFD competition in 1907 was donated by his surviving family members to the museum in September 2013.

[2] Shirley E. Flynn, director of the museum from 1987 to 1991, penned the history of the Frontier Days celebration in her 1996 book Let's Go!

[3] The Hall of Fame inducts individuals, livestock, and organizations who helped and continue to maintain the rodeo widely known as "The Daddy of 'em All."

Everyone voted into the hall of fame "represents the competitive and cooperative spirit that has remained the hallmark of Cheyenne Frontier Days since 1897.