One explanation for Jane's fanciful yarns was her excessive consumption of alchohol. She is said to have been intoxicated for most of her adult life. When not on the open road, she could be found at the local saloons drinking, chewing tobacco, and being the boisterous life of the party. By many accounts, this hard life of adventure contributed to Calamity's early death.

Jane returned to the Black Hills in the spring of 1903, where brothel owner Madame Dora DuFran was still running her business. For the next few months, Jane earned her keep by cooking and doing the laundry for Dora's girls in Belle Fourche. In late July, Jane traveled by ore train to Terry, South Dakota, a small mining village near Deadwood. It was reported that she had been drinking heavily while on board the train, and had fallen ill. The conductor carried her off the train, a bartender secured a room for her at the Calloway Hotel, and a doctor was summoned. Jane's condition deteriorated quickly, and she died at the hotel on Saturday, August 1, 1903, from inflammation of the bowels and pneumonia.

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 Hickok had "absolutely no use" for Jane while he was alive, so they decided to play a posthumous joke by burying her by his side for all of eternity. 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." Although Calamity swore she'd married Hickok in 1873 and given birth to his daughter, most evidence points to the contrary.

In The Plainsman, Wild Bill Hickok (Gary Cooper) and Calamity Jane (Jean Arthur) attempt to stop an Indian uprising that was started by white gun-runners. Writing for The Spectator in 1937, Graham Greene gave the film a rave review, suggesting that "perhaps it is the finest Western in the history of film."