Concert Venues in Cheyenne, WY Cheyenne Frontier Days Where: 4501 Carey Avenue, Cheyenne, Wyoming - 82001 Events: 9 Cheyenne Civic Center Where: 510 West 20th Street, Cheyenne, Wyoming - 82001 Events: 5 The Lincoln - Cheyenne Where: 1615 Central Avenue, Cheyenne, Wyoming - 82001 Events: 5 The Outlaw Saloon - WY Where: 312 S Greeley Hwy, Cheyenne, Wyoming - 82007 Events: 1