Buffalo Bill Cody appears to be the first person to ever bring motion picture cameras to South Dakota. In 1913 he filmed "The Indian Wars" at the Pine Ridge Indian Reservation including at the actual site of the Wounded Knee massacre.
General Nelson Miles (below right) was a technical advisor on the picture. Here he and Cody oversee some of the filming.
According to an article in the Rapid City Journal from October 17, 1913, some Indians who fought in the actual battle at Wounded Knee participated as well as two troops of soldiers from Fort Robinson, Nebraska.
The film was backed by the Denver Post, the U.S. War Department and the U.S. Department of the Interior. It was a financial failure.
Most of the film has been lost to deterioration, but apparently a few clips survive.