The confusion probably arises from the fact that a group of Sioux warriors were escorted to Fort Sheridan in early 1891. However, Sitting Bull could not have been among those men, because he had been killed months earlier on December 15, 1890.

In the 1880s, he toured briefly with “Buffalo Bill” Cody’s Wild West Show. Sitting Bull is shown at left in a studio portrait with Bill Cody.
Sitting Bull urged his people to accept no further compromise and relinquish no more land to the U.S. Government. He participated in the "Ghost Dance," a ceremonial movement with a messianic message. Because of his great influence, his involvement raised fears of an uprising. Federal agents ordered Sitting Bull arrested, and in a pre-dawn raid on 15 December 1890, more than three dozen tribal policemen backed by military escort were dispatched to his cabin. In the ensuing chaos Sitting Bull was shot and killed.
Two weeks later, the Indian Wars came to a tragic end at Wounded Knee Creek, South Dakota. Big Foot, another Sioux leader, led his people to an area he thought safe. Federal troops caught up with him and opened fire massacring 370 Lakota.
By the end of January 1891, a group of Sioux were taken prisoner. On January 26, 1891, a telegram was received from General Nelson Miles, commander of U.S. troops in South Dakota, stating: "I expect to reach Chicago some time tomorrow night with Taming Bear, Short Bull, Two Strike, and others, thirty in all. I desire that preparations be made to remove them to Fort Sheridan immediately."
The idea was to show the warriors the newly constructed fort with all its buildings, soldiers, and weapons, to impress on them the might of the U.S. military.
Pictured are Sioux warriors who were taken to Fort Sheridan as prisoners. Photograph by George E. Spencer.
Fort Sheridan Collection, Dunn Museum, 92.24.1347.
Pictured in Spencer's photograph: Kicking Bear, High Eagle, Revenge (19), Hard to Hit, Short Bull (ca 1845-1915), a member of a Lakota tribe (5), Good Eagle, Close to Lodge (14), Standing Bear (11), One Star (15), White Horse (17), Run By (3), Lone Bull (12), Come and Grunt (6), Scatter, Plenty Wound (2), John Shengrau (interpreter), White Beaver (1), John Bree (interpreter), Take the Shield Away (18), Know His Voice (16), Sorrell Horse (9), and Horn Eagle (8).

A letter dated March 1891, from General Miles states that Cody’s offer “would give them [Sioux] occupation for a year and a half without expense to the government; they would be away from the Sioux country during that time... [it] will educate them as to the extent, power and number of the white race.”
The Sioux warriors toured Europe with Cody, and returned to Illinois to perform at the Chicago World’s Fair in 1893. Once no longer employed by Cody, the U.S. army allowed them to return to their homes.
The Sioux warriors toured Europe with Cody, and returned to Illinois to perform at the Chicago World’s Fair in 1893. Once no longer employed by Cody, the U.S. army allowed them to return to their homes.
Sitting Bull's fame, his ties to Bill Cody, and the fact that Sioux warriors were present at Fort Sheridan seem to have combined to create the legend of Sitting Bull at Fort Sheridan.