In 1906, construction of Cheyenne's new Catholic cathedral began with Nebraska's Fisher and Lowery as its architects. The necessary funds and the site for construction were acquired by Bishop James J. Keane and Reverend James A. Duffy. 5,000 people came to watch the laying of the cornerstone on Sunday July 7, 1907. On January 31, 1909, the Cathedral was consecrated by Bishop Maurice Francis Burke of St. Joseph, Missouri, and by Bishop John Patrick Carroll of Helena, Montana.
Two side galleries, a choir loft, a vestibule, and a sacristy were built to complete the cathedral. Large arches of steel and concrete trimmed with oak were stretched across the ceiling of the sanctuary to add to the architectural beauty.
The building's total expenses equaled $125,000 and was debt-free when completed. The building's stained glass windows were imported from Europe. These were donated as memorials. The large Madonna window in the choir loft was also imported from Europe and was a gift of the Knights of Columbus.