In the late 1800s, Annie Oakley, Barbara Stanwyck, a young woman from the Ohio backwoods, shoots six dozen quail and delivers them to the owner of a general store. He sends the birds to the MacIvor Hotel in Cincinnati, where the mayor is hosting a banquet in honor of Toby Walker, Preston Foster — the celebrated “greatest shot in the whole world.” Toby is particular about what he eats, and hotel owner James MacIvor, Andy Clyde, has bought Annie’s quail because she shoots the birds cleanly through the head, leaving no buckshot anywhere.
At the banquet, Jeff Hogarth, Melvyn Douglas, signs Toby to a contract, making him part of Buffalo Bill's Wild West show. James MacIvor challenges Toby to a shooting contest to take place the next morning. He arranges for “Andy” Oakley to compete against Walker, only to be shocked when Annie appears. The match ends in a draw, 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 Oakleys return home, Annie promises to reimburse all those who had bet on her. Jeff follows and tells Annie that he never bet the money that she had given 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 shooting tricks.
At the first show, Sitting Bull is in the audience. Ned Buntline, Buffalo Bill’s publicist, tries to enlist Sitting Bull for the show, but Sitting Bull is bored with the acts until he sees Annie shoot five targets thrown in the air. He is impressed and changes his mind to join the show.
A romance blossoms between Annie and Toby despite Jeff’s attempts to win her affections. 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 fires, saving Sitting Bull’s life although his eyes are affected by the closeness of the shot. While Annie’s fortunes rise, Toby’s decline. He hides his injury but accidentally shoots Annie in the hand and is dismissed from the show. Annie is heartbroken but Jeff and Wild Bill try to keep Toby away from her. However, during a chance meeting, Annie is told by a woman accompanying Toby that she has only brought bad luck to Toby. Although Toby tries to stop the woman, Annie feels that what she says is true and unhappily retreats. After a triumphant tour of Europe, the show plays in New York City, where Sitting Bull spots Toby and reunites him with Annie.
