Pryor is a census-designated place in Big Horn County, Montana, United States. The community is located on Crow Tribe's reservation. The population was 618 at the 2010 census. The area is named for Nathaniel Hale Pryor, a sergeant in the Lewis and Clark Expedition. The first post office opened in 1892 with Emma C. Stoeckel as postmaster. The Chicago, Burlington and Quincy Railroad built a line through the valley in 1900. It is home to Chief Plenty Coups State Park.