The story of Annie Get Your Gun revolves around Annie Oakley, an illiterate hillbilly with a knack for sharpshooting. Persuaded to join Buffalo Bill's travelling Wild West Show, she falls in love with Frank Butler, the show's featured shooting ace. Frank however is not impressed with the arrival of another sharpshooter and has Annie relegated to the role of assistant.

Annie befriends Chief Sitting Bull, who is also travelling with the show, and is adopted into the Sioux nation. With his help and that of Buffalo Bill, she contrives to upstage Frank by performing a tick on a trapese but instead of impressing him, it causes him to leave the show and join Pawnee Bill's rival outfit.

Annie travels to Europe and impresses all the heads of state, but the show is a financial flop (Monarchies don't pay to be entertained it would appear) and the Show returns to the US to try to regroup. A merger with Pawnee must be contemplated. Will Annie finally get her man?