Images of America: Wyoming Big Horn City was the first town established in 1881 in what later became Sheridan County, Wyoming. Nestled in the foothills of the Big Horn Mountains, it is no wonder the Crow and Sioux Indian tribes coveted the Little Goose Valley for its abundance of wild game. Sheridan County's first white resident and founder of the town of Big Horn City was Oliver Perry Hanna. Numerous immigrants soon found their way to Big Horn City along the Bozeman Trail to begin a new life. The Bozeman Trail Museum, which serves as a place for local families to share their collectibles, was a blacksmith shop on the Bozeman Trail.