Alzada, settled in the late 1870s by pioneers who wanted to raise cattle, is on the banks of the Little Missouri River. It was originally called Stoneville, after a saloon owner, Lou Stone. During 1877-1878 General Nelson A. Miles built a telegraph line from Fort Keogh (Miles City) to Fort Meade, South Dakota. The post office was established in 1880 under Stoneville. But since there was another Montana town with a similar name, there was some confusion with the mail, so the town was renamed in honor of Mrs. Alzada Sheldon, wife of a pioneer rancher who had come to the area in 1883. The name was officially changed in 1885 to Alzada.
In Alzada's early days, the cattle rustler and the horse thief operated at will, much to the hardships and expense of the ranchers. The most notorious and boldest were the Exelby Gang. Beginning their 'operations' in 1877, the gang rustled for several years. Eventually, a series of events including rustling, arrests, an attempted rescue, and exchanges of gunfire culminated in the 1884 Shootout at Stoneville and the ultimate breakup of the Exelby Gang.
Alzada is located in the most southeastern corner of Montana, it is near the borders of South Dakota and Wyoming.