There are several things going on here. First, the term "frontier" can be applied to everything from the region "just of reach" of seventeenth-century coast settlements along the Atlantic seaboard to a zone that drifted increasingly west as each successive "frontier" was settled. The term was then appropriated in 1893 by Frederick Jackson Turner to fit his "Frontier Thesis" to describe what he saw as the effects of frontier settlement on American culture. But none of that is what you really mean - that's just for context.

You're asking about the "Wild West" which is 90% romance and 10% stuff that's not necessarily very true. The American West is the largest region in North America - larger in size than many European countries put together, so typifying it would be analogous to characterizing "Europe" in a brief answer on reddit. Because the American West was so large, there were/are in fact, many "Wests". It is generally an arid region (except where it is not!). Because of the inability to "dry farm" (i.e., grow crops without irrigation) in most places, much of the region was dependent on mining or on the free-range cattle industry. The latter required extensive use of large tracks of real estate (usually federally managed) to provide "free-range" cattle with the opportunity to feed on scattered indigenous grasses. This meant that one had to go out seasonnaly and find one's cattle for market, and that meant that range owners were dependent on hired hands who "rode the range" to round up cattle.

All that said, horses and guns were a lot less common than the movies would have us believe. And the West was (and is) much more urban than the way characterized in those same movies.