The Cheyenne Club was a group of 19th Century socialites who wintered in Europe and spent the Summers in Cheyenne. The dry, mountain air and cool Summers drew them to Cheyenne from Europe and the Northeastern US. Although the railroad played a role in the modern history of Cheyenne, its location in Wyoming also creates desirable weather conditions.Cheyenne lies within a high, semiarid plain bordered by the Rocky Mountains. Because the mountains face northward, they provide a barrier against many storm swells from the West coast.

The Winters are very cold and dry. They can last from November to occasional snowfalls in May. Cheyenne is rainiest and has mild temperatures during the Spring. There are brief rain showers in the Summer, but the evenings are typically cooler than daytime temperatures. Even so, daytime temperatures in the Summer never exceed the mid-90's. The Fall season is shortest, mainly September to October with average temperatures in the 70's.

Motivation for travel will determine your ideal vacation season. Skiers should be in Wyoming between February and April. The height of snowfall usually occurs in March. June is best suited for outdoors enthusiasts who prefer swimming, canoeing, or kayaking. June and September are equally ideal for hiking, national parks, or family travel. Expect to wear light clothes during June and pack a light jacket or sweater. In September, pack a combination of short sleeved and long sleeved attire with either a coat or sweater.

Due to its 6,000 ft. elevation, the atmosphere is somewhat thin. The lack of moisture, fog, and haze in Cheyenne, provides greater sun exposure. A sheer sun-block even during the Winter months can help alleviate this exposure. As people spend more time in Cheyenne every summer, they may be on the verge of founding a new Cheyenne Club.