I am an Albertan and I have been a keen consumer of Alberta's history for over two decades. I think a few historical, social, and economic factors explain the population density disparity between us and our Southern neighbors.

The first thing to consider is the history of Western Canada. The original Europeans in what is now known as Alberta were almost exclusively involved in the fur trade, and the most lucrative fur producing regions were in the vast boreal forests which are primarily found North of the North Saskatchewan river. The forts along the North Saskatchewan were established fairly early and became important centres of trade and commerce. Alberta's capital, Edmonton, was established in 1795 as an important fur trading post for the Hudson's Bay Company and served in that capacity until 1891.

There was a very important expedition from 1857-59 led by John Palliser on behalf of the British Government (the Palliser Expedition). He was asked to explore the lesser known regions of British North America, judge their suitability for settlement, and find new passes over the Rocky Mountains. At this time the least explored region of the continent was the vast plains between the Norths Saskatchewan River and the Missouri river. Even for natives the only reason to enter this vast area was to move across it or, more importantly, to hunt bison.

This area was also the home of the Blackfoot, who were total badasses and were constantly in conflict with their neighboring tribes (mostly the Cree). In 1858 Palliser was near modern Calgary and was concerned when he found out a Blackfoot tride had killed a Cree in a horse-stealing expedition. He didn't want to get caught in the crossfire. The Blackfoot were keen to trade with the fur traders, but weren't all that sociable. They were feared by the other natives, voyageurs, and fur traders. Palliser did his best to get representatives from all tribes on his expedition to help with PR and translation. This contingent was mostly made up of Metis (what he referred to as "half-breeds") from Red River (modern Winnipeg) and Lac St. Ann North of Edmonton. Despite his best efforts we was only able to track down one half-Blackfoot, half-Scottish guide to join him.

Note: if you are driving up from Montana do yourself a favour and check out "Head Smashed In Buffalo Jump" near Fort McLeod (about 2 hours South of Calgary). It is one of the most fascinating museums I've ever visited.

The important thing of all that is above is that the fur trade established Edmonton and the North Saskatchewan as important centres for future expansion West.

When Palliser finished his expedition in 1859 he reported back to London that the Western prairies were fertile, the natives were not as militant or unreasonable as was reported, and that there were several passes through the Rockies that could support a railway. This convinced the British government that the West could be settled. The impetus for settlement was heightened in 1867 when Canada became a country. The Canadian leaders out East felt that it was not a great idea for fledgling countries to have vast unsettled lands.

In order to facilitate settlement they needed a transcontinental railroad, which was finished in 1885. The railway took a Southerly route through what would become Calgary. This is an important factor: just as with the fur trade where all important towns were on the river, in the period of settlement all important towns were on the railroad.

The next problem was to convince settlers that Alberta was a good place to establish a new life. Canada launched massive advertising campaigns in Europe and they sweetened the pot by offering free land to settlers. This lure of free land led to a huge immigration boom from 1885-1914.

The last piece of the Alberta puzzle is Oil. Major oil and gas deposits were found in Alberta in the 1940s and this led to a thriving industry that still supports the province 70 years on. Most of this oil is in the Northern half of the province, but the reason Calgary has 1.4 million people is that the majority of Canadian oil and gas companies (and the Canadian divisions of multi-national oil and gas companies) are headquartered there. When you are in Calgary you will notice that many of the big buildings are topped with the logos of oil and gas companies.

TL;DR:

1. In the late 1700s Northern Alberta was established as an important fur trading area. The area between the US border and the North Sasktatchwan was sparcely populated by badass natives and unexplored by Europeans.
2. In the 1850s Palliser explored the area and discovered it was fertile and that there were reasonable passes through the Rockies.
3. In 1867 Canada becomes a country and is eager to establish settlers in the West.
4. The transcontinental railroad is completed in 1885.
5. The Canadian government offers free land to settlers leading to a massive population boom from 1885-1914.
6. Massive oil and gas deposits are discovered in the 1940s.
7. Most of the companies that exploit the oil and gas establish headquarters in Calgary.

I am from Alberta and have long been itching for this question!

There are a few reasons, but many of them stem from the turmoil associated with Americans settling the West. When we think about the narrative ideas of the "frontier" and the "West," there is the inevitable association with the "Wild West"-- a lawless place with gunmen and raids, warring factions of indigenous people, saloon fights and prostitutes. (You know, the things they sell on Westworld.)

The American move westward began quite a bit earlier than in Canada-- the early 19th century. If you look at this map, you can see American territorial expansion (through the Louisiana Purchase of 1804, the Texas annexation of 1845, etc.) A map of Canada from 1804 wouldn't extend much past the Great Lakes, as it was still Upper Canada and Lower Canada-- the area with modern Toronto, Ottawa, Montreal, and Quebec City-- along with Rupert's Land, which was owned by the Hudson Bay Company.

Canada confederated in 1867, nearly a century after the independence of the USA. Both British colonial figures (governors general) and newly emergent Canadian figures (early prime ministers, and provincial premiers) looked to the southern border with unease. Following the War of 1812-- which, as ALL Canadians will tell you, we won through the cooperation of French, English, and Indigenous peoples-- there was a degree of suspicion that American imperial ambition would encroach on "British North America," or what would eventually be come to be known as Western Canadian territory. At the same time, there was a burgeoning anxiety about the lawlessness of the Western frontier.

In 1873, the North West Mounted Police were founded, to keep order across the North West. They still exist today as "mounties" or RCMP, but that's not a piece of history in which I am especially well versed.

SMASH CUT TO: Wilfred Laurier (prime minister from 1896 to 1911). The first Francophone Prime Minister. He is one of Canada's most beloved elder statesmen:

"I have had before me as a pillar of fire," he said, "a policy of true Canadianism, of moderation, of reconciliation." He passionately defended individual liberty, "Canada is free and freedom is its nationality," and "Nothing will prevent me from continuing my task of preserving at all cost our civil liberty." Laurier was also well-regarded for his efforts to establish Canada as an autonomous country within the British Empire, and he supported the continuation of the Empire if it was based on "absolute liberty political and commercial". In addition, Laurier was a strict nationalist, argued for a more competitive Canada through limited government, and the fiscal discipline. x

Laurier was very concerned about American expansion and wanted to make Western Canada appear to be a good, civilized place: where an honest man could homestead and raise a family, not a gunslinger's paradise. He, along with then-interior Minister Clifford Sifton, developed a plan called "The Last Best West."

Using pamphlets and small printed materials, the idea of a beautiful, pure Canadian West was sold all across Europe-- particularly Eastern Europe, because the climate conditions are similar in Alberta to Ukraine. The settlers were told that if they could make the harrowing journey from Eastern Europe to Alberta, they could own farmland for free. It was seen as a win-win for state and family alike: the state had a "civilized" west, and the families had freedom and property. It was an incredibly successful program, bringing thousands to Alberta and Saskatchewan; growth was only really halted by the outbreak of WWI. To date, Alberta and neighbouring Saskatchewan are home to some of the most Ukrainians outside Ukraine, and there is even a giant Ukrainian Easter Egg (pysanka) on one of Alberta's busiest highways!

Now, of course I would be remiss not to mention the pre-existing residents of the Prairies-- the Indigenous peoples, mostly Cree, Blackfoot, and Saulteaux people. Again, the whipped-up fears of (and I don't believe this, but this was the perception) "Indians scalping homesteaders" lead to one of Canada's most controversial policies: Indian Residential Schools. Young Indigenous children were taken from their families and kept in boarding schools, sometimes for years without seeing their families. Many were abused and all were forbidden from speaking their mother languages. The intention, as has been frequently repeated, was to "kill the Indian in the child"-- making the "wild" people into good European types, who would farm and maintain the land. This image of Thomas Moore was seen as a "success." This is now widely considered one of Canada's worst policies, but must also be considered in the context of the desire to settle the West. In the USA, many indigenous people were simply killed (for instance, on Andrew Jackson's notorious Trail of Tears); in Canada, they were subjugated with the hope they would be assimilated and provide a greater buffer against American expansion. This is a big topic which can't be done justice in a simple post so I would recommend you read more here.

Following WWI, population growth in the Prairies continued to expand with the discovery of oil in Northern Alberta. The industry has grown consistently since then-- Alberta remains one of the world's leading oil producers.

I hope that helps answer your question!

ps: Enjoy your trip to Calgary and please consider visiting Edmonton too! We are very nice and have a terrific shopping mall, haha :)

Sources:

Cecily Devereux, "'And let them wash me from this clanging world': Hugh and Ion, 'The Last Best West' and Purity Discourse in 1885." Journal of Canadian Studies 32.2 (1997) pp: 100+

Rupert's Land: The Canadian Encyclopedia

War of 1812: The Canadian Encyclopedia

Neatby, H. Blair. "Laurier and imperialism." Report of the Annual Meeting. Vol. 34. No. 1. The Canadian Historical Association/La Société historique du Canada, 1955

Swyripa, "Ukrainians", p. 1863