When the traveling Buffalo Bill's Wild West show visits Cincinnati, Ohio Colonel Buffalo Bill, Frank Butler, the show's handsome, womanizing star I'm a Bad, Bad, Man, challenges anyone in town to a shooting match. Foster Wilson, a local hotel owner, doesn't appreciate the Wild West Show taking over his hotel, so Frank gives him a side bet of one hundred dollars on the match. Annie Oakley enters and shoots a bird off Dolly Tate's hat, and then explains her simple backwoods ways to Wilson with the help of her siblings Doin' What Comes Natur'lly. When Wilson learns she's a brilliant shot, he enters her in the shooting match against Frank Butler.
While Annie waits for the match to start, she meets Frank Butler and falls instantly in love with him, not knowing he will be her opponent. When she asks Frank if he likes her, Frank explains that the girl he wants will "wear satin… and smell of cologne The Girl That I Marry. The rough and naive Annie comically laments that "You Can't Get a Man with a Gun". At the shooting match, Annie finds out that Frank is the "big swollen-headed stiff" from the Wild West Show. She wins the contest, and Buffalo Bill and Charlie Davenport, the show's manager, invite Annie to join the Wild West Show. Annie agrees because she loves Frank even though she has no idea what "show business" is. Frank, Charlie, Buffalo Bill, and everyone explain that There's No Business Like Show Business.
Over the course of working together, Frank becomes enamored of the plain-spoken, honest, tomboyish Annie and, as they travel to Minneapolis, Minnesota on a train, he explains to her what "love" is They Say It's Wonderful. Buffalo Bill and Charlie discover that the rival show, Pawnee Bill's Far East Show, will be playing in Saint Paul, Minnesota while the Wild West Show plays in nearby Minneapolis. They ask Annie to do a special shooting trick on a motorcycle to draw Pawnee Bill's business away. Annie agrees because the trick will surprise Frank. She sings her siblings to sleep with the Moonshine Lullaby.
As Annie and Frank prepare for the show, Frank plans to propose to Annie after the show and then ruefully admits that "My Defenses Are Down". When Annie performs her trick and becomes a star, Chief Sitting Bull adopts her into the Sioux tribe I'm An Indian Too. Hurt and angry, Frank walks out on Annie and the show, joining the competing Pawnee Bill's show.
The Buffalo Bill show tours Europe with Annie as the star, but the show goes broke, as does Pawnee Bill's show with Frank. Annie, now well-dressed and more refined and worldly, still longs for Frank I Got Lost in His Arms. Buffalo Bill and Pawnee Bill plot a merger of the two companies, each assuming the other has the money necessary for the merger. They all meet at a grand reception, where they soon discover both shows are broke. Annie, however, has received sharpshooting medals from all the rulers of Europe worth one hundred thousand dollars, and she decides to sell the medals to finance the merger, rejoicing in the simple things I Got the Sun in the Mornin'.
When Frank appears, he and Annie confess their love and decide to marry, although with comically different ideas: Frank wants "some little chapel," while Annie wants "A wedding in a big church with bridesmaids and flower girls/ A lot of ushers in tail coats/ Reporters and photographers" An Old-Fashioned Wedding. When Annie shows Frank her medals, Frank again has his pride hurt, and they call off the merger and the wedding. They agree to one last shooting duel Anything You Can Do. Annie deliberately loses to Frank to soothe his ego, and they finally reconcile, deciding to marry and merge the shows.