In late 1800s Ohio, a young woman from the backwoods, Annie Oakley, delivers six dozen quail she has shot to the owner of the general store. He sends them to the MacIvor hotel in Cincinnati, where the mayor is holding a large banquet in honor of Toby Walker, the “greatest shot in the whole world”. Toby is particular about what he eats and the hotel owner, James MacIvor, bought Annie’s quail because she shoots the quail cleanly through the head, leaving no buckshot elsewhere.
At the banquet, Jeff Hogarth signs Toby to a contract making him part of Buffalo Bill’s Wild West Show. James challenges Toby to a shooting contest to take place the next morning. James arranges for “Andy” Oakley to compete against Walker, only to be shocked when she shows up. He tries unsuccessfully to call the whole thing off. The scheduled match ends in a tie, so they proceed to sudden death. The two sharpshooters continue hitting their targets. Following a comment from her mother, Annie deliberately misses her next shot. Walker is a gracious, though unsuspecting winner; Hogarth knows exactly what happened.
When the Oakley’s return home, Annie promises to pay back all those who bet on her. Jeff follows and tells Annie that he never bet the money she gave to him. He also invites her to join the Wild West Show. Annie, having developed a crush on Toby, accepts. Jeff introduces her to Buffalo Bill and the other members of the show.
When Toby overhears Buffalo Bill telling Jeff that he might have to fire Annie because she lacks showmanship, he teaches her some ‘fancy shootin’ and tricks.
At the first show, Chief Sitting Bull is in the audience with Iron Eyes Cody as his translator. Ned Buntline. Buffalo Bill’s publicist tries to sign him up for the show, but the chief is bored with the acts until he sees Annie shoot five targets thrown in the air. He is so impressed, he changes his mind and joins the show.
A romance blossoms between Annie and Toby, despite Jeff’s attempts to win her affections for himself. They also become good friends with Sitting Bull.
One day, a man with a grudge tries to shoot Sitting Bull. Toby grabs the man’s gun just as it goes off, saving his friend’s life. However, his eyes are affected by the closeness of the shot. While Annie’s fortunes rise, Toby’s decline. He hides his injury, but ends up shooting Annie in the hand and is dismissed from the show. Much to Annie’s heartbreak, Jeff and Wild Bill keep Toby away from her. However, during a chance meeting, a woman accompanying Toby tells Annie that she’s been nothing but bad luck to him. Although Toby tries to stop the woman, Annie feels what she says is true and unhappily retreats. After a triumphant tour of Europe, the show next plays in New York City, Toby’s home town. When he attends the show, Sitting Bull spots him and reunites the loving couple.