Originally published in 1941, The Last Frontier is the story of the Cheyenne Indians in the 1870s, and their bitter struggle to flee from the Indian Territory in Oklahoma back to their home in Wyoming and Montana. Some 300 Indians, led by Little Wolf, fought against General Crook and 10,000 troops, with only 60 finally making it through to freedom. Fast extensively researched this book in the late 1930s, visiting and speaking with Cheyenne experts in Norman, Oklahoma.

This was the first of Fast's many books to gain a wide popular audience; it was eventually made by John Ford into the classic film Cheyenne Autumn (1964).