Each one of the six Colt Express: Bandits expansions allows the players to compete against the game itself, which operates under the rules of that particular expansion. A new story is told each time as each expansion creates a specific goal and new actions for the bandit played by the game. That bandit can win, and if that occurs, all the players lose. Thus you need to work together against this "bot", while keeping in mind that in the end, there can be only one winner — the richest bandit, of course.

In the Cheyenne expansion, Cheyenne has traded in her gun for a bow. Beware, as she is a better shot with arrows, especially as they are poisoned. When Cheyenne uses her bow, all the targeted bandits gets a poisoned arrow. If they are not able to get an antidote before the end of the game, they automatically lose, no matter how rich they are.

Cheyenne moves faster than any of the other bandit. When she ends movement at a location where there are other bandits, she gets one purse from each of them. Cheyenne will win if she is the richest bandit among the non-poisoned ones.