The western genre and the Hollywood mythmaking machine match up so nicely that it’s hard to imagine one without the other. But the hunger — and the market — for a reassuring romantic national creation story as a pop-culture staple did not wait for the movies to be invented. In the late 19th century, even while the frontier was still a place and not a memory, “Wild West” shows traversed the United States and even Europe, drawing millions of spectators who paid to witness the western idea acted out as entertainment. As Larry McMurtry once put it, “The selling of the West preceded the settling of it.”

Few sold it better than Buffalo Bill Cody. While still a scout for the United States Army, Cody managed to hire himself out as a sort of celebrity hunting guide for well-to-do visitors to the American West. In 1869, when he was about 25, he impressed a writer calling himself Ned Buntline, who began a series of dime novels starring Buffalo Bill. These inspired a play, with Cody himself in the lead role. For the next several years, Cody switched off between actual scouting work in campaigns against Plains Indians — and appearing in plays with names like “Scouts of the Plains.”...