Remington's second model depicting an Indian was one of the first sculptures conceived for casting exclusively at Roman Bronze Works. Completed and copyrighted in 1901, the bronze was cast with the lost-wax technique which allowed the sculptor to model highly textured surfaces. The tour-de-force of balance and casting with all four of the horse's hooves off the ground reflect the joint artistic and technical efforts on the part of the sculptor and the foundrymen.

In Frederic Remington: The Masterworks, Shapiro and Hassrick write that "although The Cheyenne is among the finest and most popular of Remington's bronzes, on May 7, 1907, the sculptor destroyed the molds for it and also for the lost wax version of The Scalp because, as he wrote in his diary, 'They had lost all resemblance to my modeling'; both sculptures, however, were cast again, from fresh molds, in 1908 and then posthumously. Far fewer casts of Remington's sculpture, even of the most popular models, were produced during the artist's lifetime than has been realized--as few as twenty-one casts of The Cheyenne. . ." (Shapiro and Hassrick, p. 199).

According to the Roman Bronze Works' ledgers, the present bronze was cast prior to 1906.