"I come from a state that raises corn and cotton and cockleburs and Democrats, and frothy eloquence neither convinces nor satisfies me. I am from Missouri. You have got to show me." 1899 speech by Congressman Willard Duncan Vandiver.
However, earlier than that, the phrase was originally a reference to Missouri laborers being brought to Colorado to quell a miner's strike and requiring frequent instruction.
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The most widely known legend attributes the phrase to Missouri's U.S. Congressman Willard Duncan Vandiver, who served in the United States House of Representatives from 1897 to 1903. While a member of the U.S. House Committee on Naval Affairs, Vandiver attended an 1899 naval banquet in Philadelphia. In a speech there, he declared, "I come from a state that raises corn and cotton and cockleburs and Democrats, and frothy eloquence neither convinces nor satisfies me. I am from Missouri. You have got to show me." Regardless of whether Vandiver coined the phrase, it is certain that his speech helped to popularize the saying.
Missouri is referred to as the show me state due to a thing dating back to the early colonization and establishment of Missouri. This thing was freedom of religion. Since the people of Missouri could not physically show their god many nicknames came into play and with one it stuck which was the show-me state.