The Dime Novel
Before the pulp magazines even existed, there was the dime novel, and there was even some overlap between the two because some of the dime novel publishers converted over to the pulp magazine format.
Dime novels were cheap, melodramatic stories featuring wildly inaccurate adventure stories about Western gunmen and other adventure heroes. The Old West wasn't mythologized after the fact, it was mythologized as it was happening, by the dime novel writers. Outlaws like Jesse James and Billy the Kid had dime novels written about them while they were still alive and active. It must have been an odd and uncomfortable experience, seeing your life become a legend in front of your eyes.