"Brokeback Mountain" may be the first major openly gay cowboy movie but it isn't the first gay cowboy movie. some academic will one day write a dissertation abt all those hunky cowpokes & their "sidekicks." I remember abt a year ago seeing a Gene Autry film which astound'd me with the richness of its subtext revolving around a character playd by Sterling Holloway.
but perhaps the gayest classic western is Howard Hawks' "Red River." it's a great film with so many things going on in it & at so many levels that I can only hint abt its complexity here. but at the core is a love story between the characters playd by John Wayne & Montgomery Clift. major stuff. & then there's a lust story between Clift & John Ireland with some of the best double entendres since Mae West.
I hesitate to say more because if you haven't seen it you shd look it up.