The female sharp-shooter competes with a man and travels with Buffalo Bill's Wild West show.
Marksman Toby Walker (Preston Foster) joins Buffalo Bill's show. He bets hotel-owner MacIvor (Andy Clyde) $200 on shooting. Vera (Pert Kelton) goes into a saloon and gets Toby; but he rejects her. MacIvor calls his quail shooter and finds a woman, Annie Oakley (Barbara Stanwyck). She asks Jeff Hogarth (Melvyn Douglas) to bet her friends' $37. Both Toby and Annie hit all the targets until she misses on purpose so he won't lose his job and says "he was just too pretty." Jeff returns the money, saying he didn't bet it, and he hires Annie for Buffalo Bill. Annie challenges Buffalo Bill (Moroni Olsen) and is accepted by the men of the show. Jeff orders Toby's tent moved away from Annie's. Buffalo Bill says Annie's shooting has no color; but Toby shares his acts with her.
The Wild West show performs in Washington for Sitting Bull (Chief Thunderbird), who is not impressed until he sees Annie shoot; then he agrees to join the show. Ned suggests a male-female rivalry between Toby and Annie. She defeats the world champion, and they pretend to hate each other, kissing. MacIvor invites them to his hotel and gets free tickets with holes punched that became known as Annie Oakleys. An Indian-hater tries to shoot Sitting Bull; but Toby stops him, injuring his eyes. Vera is working in the hotel and asks to dine with Toby. He wants to talk with Buffalo Bill, but Annie asks him not to disappoint the people. Toby volunteers to have Annie shoot a cigarette from his mouth, and she holds a quarter for him. Toby declines, but men call him a coward. So he shoots and hits Annie's hand. Buffalo Bill fires Toby. Annie ask for Toby and cries for him. Jeff tells Annie to forget Toby and tells Toby he has no future. Vera keeps Toby from talking to Annie; but he rejects Vera for criticizing Annie. The Wild West show tours Europe, and Annie shoots a cigarette from the mouth of crown prince Wilhelm of Germany (a true incident). Jeff loves Annie, but she plans to leave the show in New York. Jeff shows her a news article about Toby's eye accident.
Toby is back in the Bowery working at a shooting gallery. When he attends the show, Sitting Bull sees him in the stands and calls him during an Indian attack on the stage. Toby leaves. Sitting Bull follows and then takes Annie in a carriage to Toby. The kids are impressed that he really knows Annie Oakley, as they kiss.
In real life Annie Oakley did surpass her rival and husband Frank Butler, who became her manager and let her shoot cigarettes from his lips. This is a fine feminist story of a woman with her own career and marriage too.