The Sheridan County Fairgrounds came into the county's possession through a sheriff's sale in September 1918.
Two years later, on Sept. 2 through 4, in 1920, the site hosted the first official county fair.
The first part of the program was a parade down Sheridan's Main Street. Boys and Girls clubs of Sheridan County, forerunners of today's 4-H, marched down the street carrying banners that read, in part, “We learned to use a needle, we raised chickens, we raised pigs, we raised Gardens and Can, Come to Our Club Fair.”
County commissioners and city businessmen provided financial aid, as well as the Northern Wyoming Poultry Association and Sheridan County Farm Bureau. Ranchester, Dayton and Big Horn all supported the effort with livestock and agricultural exhibits.
In the fair's early years, participants, which included adults as well as youth, camped on the fairgrounds for the duration of the shows. In 1922, the Boys and Girls clubs entries were housed in a special tent, but on the second day of the fair, a strong wind blew the tent over and destroyed the exhibits. County commissioners approved a property tax levy to finance construction of the brick Exhibit Hall in 1923. The 4-H livestock auction was instituted in 1929, and the stone pavilion built in 1940 to house that event.
In the 1970s, the current sales pens on the fairgrounds' west side were built, along with other additions including a sheep barn and additional stalls for horses. Today the fairgrounds host a variety of activities, but management of the annual fair remains a primary goal, so important that the fair remains the only event specifically named in the fair board's mission statement.