Annie Oakley was born Phoebe Ann Mosey on August 13, 1860, in a log cabin less than two miles (3.2 km) northwest of Woodland, now Willowdell, in Darke County, Ohio. The sixth of nine children, she began trapping before the age of seven, and shooting and hunting by age eight, to support her siblings and her widowed mother.

"I was eight years old when I made my first shot," Annie later recalled, "and I still consider it one of the best shots I ever made." She saw a squirrel run down over the grass in front of the house, through the orchard and stop on a fence to get a hickory nut. Steadying her father's old muzzle-loading rifle on a porch rail, she picked off the squirrel with a head shot, allowing its meat to be preserved.

Beginning in the spring of 1870, she was "bound out" to a local family to help care for their infant son, on the false promise of fifty cents per week and an education. The couple had originally wanted someone who could pump water, cook, and who was big enough for physical labor. She spent about two years in near slavery to them, enduring mental and physical abuse. Once, the wife put Annie out in the freezing cold without shoes as a punishment because she had fallen asleep over some darning. Annie referred to them as "the wolves". Even in her autobiography, she never revealed the couple's real names.

On Thanksgiving Day 1875, traveling show marksman Frank E. Butler, an Irish immigrant, placed a $100 bet (equivalent to $2,400 in 2020) with Cincinnati hotelkeeper Jack Frost that Butler could beat any local marksmen. The hotelier arranged a shooting match between Butler and the 15-year-old Annie, saying, "The last opponent Butler expected was a five-foot-tall 15-year-old girl named Annie." Butler reportedly chuckled when he first saw his opponent, but after missing his 25th shot, he acknowledged defeat. Annie won Butler's heart as well. The two sharpshooters married the following summer and remained wedded for 50 years.

Although she became a Wild West folk hero, Annie spent her entire childhood in the Buckeye State. Called "Annie" by her sisters, she reportedly chose Oakley as her professional surname after the name of a neighborhood in Cincinnati near her home.

"Buffalo Bill" Cody refused to hire Oakley for his Wild West show after their first encounter because he already had an expert marksman, world champion Captain Adam Bogardus, as part of his traveling troupe. But in 1884, a steamboat carrying the show's performers sank to the bottom of the Mississippi River. The passengers survived, but the sharpshooter's prized firearms met a watery demise. Struggling with his equilibrium and his new guns for months after the accident, Bogardus quit Buffalo Bill's Wild West show in March 1885, creating an opening that was filled by Oakley.

At a March 1884 performance in St. Paul, Minnesota, Annie befriended the Lakota leader Sitting Bull who had defeated Custer eight years earlier at the Battle of the Little Bighorn. Believing that Annie was "gifted" by supernatural means in order to shoot so accurately with both hands, the Native American chief sent $65 to her hotel with a request for an autographed photograph. "I sent him back his money and a photograph, with my love, and a message to say I would call the following morning," Oakley later recalled. "The old man was so pleased with me, he insisted upon adopting me, and I was then and there christened 'Watanya Cicilla,' or 'Little Sure Shot.'"

In 1904, sensational cocaine prohibition stories were selling well. Newspaper magnate William Randolph Hearst published a false story that Oakley had been arrested for stealing to support a cocaine habit. The woman actually arrested was a burlesque performer who told Chicago police that her name was Annie Oakley. Most of the newspapers that printed the story quickly issued retractions, but Hearst tried to avoid paying the anticipated court judgments of $20,000 (equivalent to $580,000 in 2020) by sending an investigator to dig up reputation-smearing gossip from Oakley's past. The investigator found nothing.

Annie and Frank may not have had any children, but they did have a dog! Dave, an English setter, was even part of their show, sitting calmly waiting for Annie to shoot an apple off of his head. Sadly, Dave was hit by a car in Florida and didn't survive. But according to The Life of Dave, As Told by Himself,", written by Frank Butler, "His memory is one of the sweetest we have ever known."

Throughout her career, it is believed that Oakley taught more than 15,000 women how to use a gun. She believed that it was crucial for women to learn how to use a gun, not only as a form of physical and mental exercise, but also to defend themselves. She said: "I would like to see every woman know how to handle guns, as naturally as they know how to handle babies."