The county is in the Central Time zone, but is bordered by the Mountain Time Zone in three directions; it is the only county in the United States to be like this. Dundy County, Nebraska to the north, Yuma County, Colorado and Kit Carson County, Colorado to the west, and Sherman County to the south are all in the Mountain Time Zone. Because of this, Rawlins County is Cheyenne County's only neighbor to also practice Central Time.