He earned about $50 a week (equal to $1,440 today) for riding around the arena in Buffalo Bill's Wild West, in which he was a popular attraction. According to historian Edward Lazarus, Sitting Bull at least once cursed his audience in his native language. During an opening address celebrating the completion of the Northern Pacific Railway, he reportedly declared in Lakota, "You are thieves and liars. You have taken away our land and made us outcasts." The translator, however, read the original address which had been written as a "gracious act of amity", and the audience, including former President Ulysses S. Grant, was left none the wiser.

After seeing Annie Oakley at a March 1884 performance in St. Paul, Minnesota, Sitting Bull proclaimed that she was "gifted" by supernatural means in order to shoot so accurately with both hands. Afterwards, he 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 1889, during a time of harsh winters and long droughts impacting the Sioux Reservation, a Paiute Indian named Wovoka started a religious movement that promised to reunite the living with spirits of the dead, bring the spirits to fight on their behalf, end American westward expansion, and bring peace, prosperity, and unity to Native American peoples throughout the region. It was known as the "Ghost Dance Movement" because it called on the Indians to dance and chant for the rising up of deceased relatives. The dance included shirts that were said to stop bullets. When the movement reached Standing Rock, Sitting Bull allowed the dancers to gather at his camp, alarming nearby white settlements. On December 15, 1890, Indian Service agent James McLaughlin ordered the arrest of Sitting Bull for failing to stop his people from practicing the Ghost Dance. When his followers resisted the agency police, Sitting Bull was shot and killed.

Two days after he was killed, Sitting Bull's body was unceremoniously buried in the post cemetery at Fort Yates, North Dakota. In 1953, a Sitting Bull descendant named Clarence Grey Eagle exhumed what were believed to be his remains, reburying them near Mobridge, South Dakota, near his birthplace. A monument to him was erected there.