Roberts painted the work while staying at Newstead sheep station—near Inverell, New South Wales—owned by his friend Duncan Anderson. He had earlier painted The Golden Fleece, his second painting depicting sheep shearing, while at Newstead. The notorious bushranger Captain Thunderbolt had been active in the Inverell area more than twenty five years earlier and Roberts conceived an idea of painting a bushranging scene.

Roberts found his location for the painting along the road between Newstead and Paradise, a neighbouring station. The location was remote, on a flat bend on an uphill stretch of the road, surrounded by “grass trees and a forest of tall gums.” At this spot Roberts, with assistance from the Anderson family, constructed a viewing platform in a tree growing on the slope below the road, thus setting himself up at road level. Roberts painted the Cobb and Co coach in Inverell and modelled the characters in the painting on people in Inverell and station hands at Newstead. Before starting on the main canvas Roberts "made tiny drawings and an oil sketch of how he wanted the scene to look