The Pony Express was a horseback mail delivery endeavor that lasted from April 1860 until October 1861. The route extended from Saint Joseph, Missouri, to Sacramento, California, and then on to San Francisco, California, by boat. With letters sealed in a mail pouch, riders covered the 1,966-mi route in no more than 10 days. The fast pace was sustained by exchanging horses every 10 mi and riders every 75 to 100 mi. The Pony Express ceased operations amid huge financial losses and the completion of the transcontinental telegraph. This study reviews its history and asks whether a healthy, solvent Pony Express could have survived competition from the telegraph until completion of the transcontinental railroad in 1869. A trinomial logit model compares the probabilities of choosing between standard mail, Pony Express, and telegraph. Market shares of 96.5% for standard mail, 2% for telegraph, and 1.4% for Pony Express are estimated on the basis of their 1861 prices and other historical information. Lowering the Pony Express rate from $1 to $0.30 per ½ oz would have doubled the market share, and increased the annual number of letters from 104,000 to 208,000. But the $62,400 earnings would have failed to meet the operating costs, and raising the rate would have meant a loss of customers. The Pony Express, therefore, would not have withstood competition from the telegraph. It would have had to shift its service market to package delivery, probably early on, to have sustained the operation. The Pony Express is nonetheless considered responsible for advancing transportation and communication in the United States.