Harry Longabaugh left home when he was 15 and took his nickname from the town of Sundance, where he was imprisoned (for his first and only time) from August 1887 to February 1889 for stealing a horse. After release he headed for the hideout of Hole in the Wall in central Wyoming and began his outlaw career.

At the turn of the century, the Sundance Kid joined with Butch Cassidy (Cassidy, Butch) and a girlfriend, Etta Place, and in 1901 drifted to New York City and then South America, where they set up ranching in Chubut province, Argentina. In 1906 he and Cassidy returned to outlawry, robbing banks, trains, and mining interests in Argentina, Bolivia, Chile, and Peru. (Sundance escorted the ailing Etta Place back to the United States in 1907 but then returned to South America.) In 1909, according to Pinkerton accounts, the two outlaws were cornered by a Bolivian cavalry unit; Sundance was mortally wounded, and Cassidy took his own life. Another story puts their death at a bank robbery in Mercedes, Uruguay, in 1911; still other stories have Sundance surviving and returning to the United States and dying in obscurity under a new name (Harry Long) somewhere in the West (perhaps Casper, Wyo.) in the 1930s or as late as 1957.