Kenneth R. Mays discusses the evidence that Joseph believed "that the Latter-day Saints—at least, many of them—would go and settle in the Rocky Mountains."
Kenneth R. Mays, "The Rocky Mountain Prophecy," Pioneer 52, no. 3 (2005): 19-24
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One of the better-known prophecies of the Prophet announced that the Latter-day Saints—at least, many of them—would go and settle in the Rocky Mountains. The fulfillment of this prophecy has been witnessed by many. That fulfillment in all its various applications continues on to the present day, particularly for those who made reside in the Intermountain West region of the United States. The historical record has produced references to the West dating back to as early as 1831. "Privately, individuals were promised that they would one day accompany the Saints 'to the bosom of the Rocky Mountains,' and public comments in Ohio's Painesville Telegraph and in the Church's Missouri organ, The Evening and Morning Star, this understanding that the Saints' promised land included the Rocky Mountains and beyond. Even in 1831, the Indian agent who banned Oliver Cowdery and his Lamanite Mission companions from contact with the Western tribes wrote to his superior that these Mormon emissaries boasted they would go to the Rocky Mountains, if necessary, to be among the Indians."
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