Plans for the Wyoming State capitol originated in 1867, with the seat of the new territorial government established as Cheyenne in 1869.

In 1886, the Ninth Territorial Legislative Assembly authorized construction of the State Capitol. A five member commission, appointed by Governor Warren, was charged with the selection and purchase of the site, selection of an architect, and accepting the lowest bids for construction of the building. The commission chose the firm of David W. Gibbs & Company, Architects, to draw plans and specifications. These were accepted in July 1886 and the contract was awarded to the lowest bidder, Adam Feick & Brothers, who broke ground on September 9, 1886. 

The architecture of the building is renaissance revival, reminiscent of the National Capitol Building in Washington, D.C. Sandstone for the building came from quarries in Rawlins, Wyoming and Fort Collins, Colorado. The building's cornerstone was laid on May 18, 1887, with maps, a roster of territorial officers, and other papers inside. During the Centennial of the Capitol in 1987 the cornerstone was removed. The original documents were replaced with contemporary versions, and the cornerstone was reset. 

The Tenth Territorial Legislative Assembly convened in an unfinished building. The two small wings on the east and west weren’t completed until April 1890. Crowded conditions persisted with the growth of the state, and in 1915 the Thirteenth legislature approved the construction of the House and Senate Chambers, which were completed in March 1917. 

The 42nd Legislature in 1974 appropriated funds for the first phase of renovation of the Capitol and that project was completed in 1980. Work included stripping and staining all woodwork, painting walls in the original designs and colors, replacing wooden floor beams with steel, concrete and modernizing the wiring, heating, plumbing and air conditioning.