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Price's religious and ethnic diversity make it something of an oddity in Utah, a state where the vast majority of the population has historically claimed British or Scandinavian ancestry and belonged to the Church of Jesus Christ of Latter-day Saints (also known as the LDS or Mormon Church). The city owes its cosmopolitan nature to nearby mines, railroad access to the outside world, its remote position on the southeastern Utah frontier, and the fact that it was not established as an LDS colony, as were most other early Utah towns.

Centuries before the city of Price was founded, Fremont and Anasazi Indians inhabited the surrounding region, raising crops and building permanent adobe dwellings. These two groups disappeared from the area around 1300 CE, possibly because of a serious drought. Following their departure, several nomadic tribes moved into the area. They probably used Price's arid Castle Valley mainly as a travel corridor. When these tribes acquired horses through contact with Europeans, they became even less inclined to visit the valley because it did not have abundant forage for their animals.

When Latter-day Saints began settling the future state of Utah in the late 1840s, church president Brigham Young assigned groups of pioneers to form satellite towns radiating out from the main settlement of Salt Lake City. However, few of these communities were located in southeastern Utah, and it was only in 1879 that Mormons began occupying the future site of Price. They were motivated to settle there not by an assignment from church headquarters, but by the desire for new land and opportunities.

Price's independent origins notwithstanding, the church was still a significant presence in the town. In 1882, merely three years after the first permanent settlers arrived, two church leaders from Salt Lake City visited the small community to give advice on a future town location, and to announce that a formal congregation (known as a ward) would soon be established. Settlers organized the Price Ward later that year, and in 1884 they built a log chapel, which also served as the community's school, theater, opera house, and courthouse. When the structure was completed, a dance was held to smooth the floor.

Even before it had a chapel, however, Price had a railroad station. The discovery of coal at nearby Castle Gate Rock made Price an attractive spot for a depot along the Denver and Rio Grand Western railroad line between Denver and Salt Lake City. Price soon became the transportation hub of the valley. Many residents found employment hauling mined Gilsonite (asphalt) to the depot or freighting goods to surrounding communities and the army's fort on the Uintah Indian Reservation.

The railroad and mines began attracting people of diverse cultures and faiths to the area, though Latter-day Saints generally constituted the majority of Price's population. Many of the new arrivals were recent immigrants, but others were Americans who worked for an out-of-state freighting company and passed up the delights of the log opera house in favor of new saloons that sprang up to serve them. By all accounts, most Mormon residents and non-Mormon newcomers accepted each others’ differences and coexisted amicably.

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