Pryor is located on the Crow Indian Reservation. The town takes its name from Sergeant Nathaniel Pryor, a member of the Lewis and Clark Expedition. One mile west of Pryor is Chief Plenty Coups State Park. The park is the home and burial site of Chief Plenty Coups. He was the last chief of the Crow Indians.
Pryor is located in southeastern Montana, south of Billings on the Crow Indian Reservation.