Calamity Jane was born on May 1, 1852 as Martha Jane Canary (or Cannary) in Princeton, within Mercer County, Missouri. Her parents were listed in the 1860 census as living about 7 miles (11 km) northeast of Princeton in Ravanna. Her father Robert Wilson Cannary had a gambling Problem and her mother Charlotte M. Cannary had spent time working as a prostitute. Jane was the eldest of six children, having two brothers and three sisters. In 1865, Robert and his family moved by wagon train from Missouri to Virginia City, Montana. In 1866, Charlotte died of pneumonia along the way in Blackfoot, Montana. After arriving in Virginia City in the spring of 1866, Robert took his six children on to Salt Lake City, Utah. They arrived in the summer, and Robert supposedly started farming on 40 acres (16 ha) of land. The family had only been in Salt Lake City for a year when he died in 1867. At age 14, Martha Jane took charge of her five younger siblings, loaded up their wagon once more, and took the family to Fort Bridger, Wyoming Territory, where they arrived in May 1868. From there, they traveled on the Union Pacific Railroad to Piedmont, Wyoming.

McCormick later published a book with letters purported to be from Calamity Jane to her daughter. In them, Calamity Jane says that she had been married to Hickok and that Hickok was the father of McCormick, who was born September 25, 1873, and was given up for adoption to a Captain Jim O'Neil and his wife. During the period when the alleged child was born, Calamity Jane was allegedly working as a scout for the army, and at the time of Hickok's death, he had recently married Agnes Lake Thatcher.

In Piedmont, Jane took whatever jobs she could find to provide for her large family. She worked as a dishwasher, cook, waitress, dance-hall girl, nurse, and ox team driver. Finally, in 1874, she claimed she found work as a scout at Fort Russell. During that time, she also began her on-and-off employment as a prostitute at the Fort Laramie Three-Mile Hog Ranch. Accounts from that period describe Jane as being "extremely attractive" and a "pretty, dark-eyed girl." She moved on to a rougher, mostly outdoor and adventurous life on the Great Plains.

Another unverified story in her autobiographical pamphlet is that her detachment was ordered to the Big Horn River under General Crook in 1875. She swam the Platte River and travelled 90 miles (140 km) at top speed while wet and cold in order to deliver important dispatches. She became ill afterwards and spent a few weeks recuperating. She then rode to Fort Laramie in Wyoming and joined a wagon train headed north in July 1876. The second part of her story is verified. She was at Fort Laramie in July 1876, and she did join a wagon train that included Wild Bill Hickok. That was where she first met Hickok, contrary to her later claims, and that was how she happened to come to Deadwood.

In 1893, Calamity Jane started to appear in Buffalo Bill's Wild West show as a storyteller. She also participated in the 1901 Pan-American Exposition. At that time, she was depressed and an alcoholic. Her addiction to liquor was evident even in her younger years. For Example, on June 10, 1876, she rented a horse and buggy in Cheyenne for a one-mile joy ride to Fort Russell and back, but she was so drunk that she passed right by her destination without noticing it and finally ended up about 90 miles (140 km) away at Fort Laramie.

Calamity Jane does seem to have had two daughters, although the father's identity is unknown. In the late 1880s, she returned to Deadwood with a child whom she claimed to be her daughter. At her request, a benefit was held in one of the theaters to raise money for her daughter's education in St. Martin's Academy at Sturgis, South Dakota, a nearby Catholic boarding school. The benefit raised a large sum; Jane got drunk and spent a considerable portion of the money that same night and left with the child the next day.

In 1881, Jane bought a ranch west of Miles City, Montana along the Yellowstone River, where she kept an inn. She later married Clinton Burke from Texas and moved to Boulder, where she once again made an attempt in the inn Business. In 1887, she gave birth to daughter Jesse, who was adopted by foster parents.

Much of the information about the early years of Calamity Jane's life comes from the autobiographical booklet which she dictated in 1896, written for publicity purposes. She was about to begin a tour in which she appeared in dime museums around the United States, and it was intended to help attract audiences. Some of the information in the pamphlet is exaggerated or even completely inaccurate.

Jane returned to the Black Hills in the spring of 1903, and brothel Madame Dora DuFran was still running her Business. For the next few months, she earned her keep by cooking and doing the laundry for Dora's brothel girls in Belle Fourche. In late July, she travelled by ore train to Terry, South Dakota, a small mining village near Deadwood, and stayed at the Calloway Hotel. She died at the age of 51 (or 53 or 56). It was reported that she had been drinking heavily while on board the train and had become sick to her stomach. The Conductor, S.G. Tillett, carried her off the train, a bartender secured a room for her at the Calloway Hotel, and a Doctor was summoned. She died almost immediately afterwards on Saturday, August 1, 1903 from inflammation of the bowels and pneumonia.

Captain Jack Crawford served under Generals Wesley Merritt and George Crook. According to the Montana Anaconda Standard of April 19, 1904, he stated that Calamity Jane "never saw Service in any capacity under either General Crook or General Miles. She never saw a lynching and never was in an Indian fight. She was simply a notorious character, dissolute and devilish, but possessed a generous streak which made her popular."

On September 6, 1941, the U.S. Department of Public Welfare granted old age assistance to a Jean Hickok Burkhardt McCormick who claimed to be the legal offspring of Martha Jane Cannary and James Butler Hickok. She presented evidence that Calamity Jane and Wild Bill had married at Benson's Landing, Montana Territory (now Livingston, Montana) on September 25, 1873. The documentation was written in a Bible and presumably signed by two ministers and numerous witnesses. However, McCormick's claim has been vigorously challenged because of a variety of discrepancies.

Calamity Jane accompanied the Newton–Jenney Party into Rapid City in 1875, along with California Joe and Valentine McGillycuddy. In 1876, Calamity Jane settled in the area of Deadwood, South Dakota in the Black Hills. There she became friends with Dora DuFran, the Black Hills' leading madam, and she was occasionally employed by her. She also became friendly with Wild Bill Hickok and Charlie Utter, having traveled with them to Deadwood in Utter's wagon train.

Calamity Jane was buried at Mount Moriah Cemetery, South Dakota next to Wild Bill Hickok. Four of the men who planned her funeral later stated that Wild Bill Hickok had "absolutely no use" for Jane while he was alive, so they decided to play a posthumous joke on him by giving her a resting place by his side. Another account states: "in compliance with Jane's dying requests, the Society of Black Hills Pioneers took charge of her funeral and burial in Mount Moriah Cemetery beside Wild Bill. Not just old friends, but the morbidly curious and many who would not have acknowledged Calamity Jane when she was alive, overflowed the First Methodist Church for the funeral services on August 4 and followed the hearse up the steep winding road to Deadwood’s boot hill".