The best time to visit Cheyenne are from the pleasant Spring (April-May) and Fall months (September-November). There are plenty of festivals that happen in Cheyenne during the summer months. The Cheyenne Frontier Days festival happens in late July and is a fun event with parades, rides and more with the Old West theme. The Old Cheyenne Gunfight that happens from June to August is another popular reenactment of Old West traditions.