Pony Express. Historical illustration of a Pony Express rider delivering mail. In 1860, the Pony Express Company began transporting mail across the United States. The mail was carried rapidly on horseback between Sacramento, Missouri and St Joseph, California. This 3200 kilometre journey was completed in ten days. Every 40 kilometres there was a station where the rider would change horses. The rider in the image is carrying a handgun to protect the mail and himself from attack. This was necessary as the express route was extremely hazardous. Despite this, the Pony Express only ever lost one mail delivery in its 16 month existence.