The Marcus family had come to San Francisco via Panama, arriving while the city was still recovering from the 1868 earthquake. Josephine grew up watching well-dressed women pass her family's Clay Street home, women whose lives seemed far more glamorous than a baker's daughter could hope for. The details of her departure are murky by design. She later claimed she joined a traveling theater company, but researchers have found no record of her name on the troupe's rolls. What is documented is that a young woman named Sadie Mansfield, sharing strikingly similar characteristics and circumstances, appeared in Prescott, Arizona, around 1874. Josephine herself later described her first years in Arizona as a bad dream. By 1880, she had attached herself to Johnny Behan, a charming lawman who would become sheriff of Cochise County, and followed him to the boomtown of Tombstone.

In Tombstone, Josephine's life collided with the most famous gunfight in American history. She was living with Behan when she met Wyatt Earp, whose office in the Crystal Palace Saloon was near Behan's. The exact nature and timeline of her relationship with Wyatt remains uncertain. She claimed to have heard the shots at the O.K. Corral on October 26, 1881, and run toward the sound, relieved to find Wyatt unharmed. Other researchers are not sure she was even in town that day. What is clear is that by the time Wyatt left Arizona in 1882, Josephine was with him and his former common-law wife, Mattie Blaylock, was not. Blaylock waited in Colton, California, for a telegram that never came. She eventually returned to Arizona, resumed working as a prostitute, and died of a laudanum overdose.

Josephine and Wyatt were never legally married, though she claimed they wed offshore on Lucky Baldwin's yacht in 1892. No public record of the marriage exists. Their decades together traced the geography of American ambition: San Diego real estate, Idaho mining camps, the Alaska Gold Rush, the Nevada silver boom. In Nome, Wyatt built the Dexter Saloon while Josephine gambled so recklessly that he cut her off and asked other gambling houses to refuse her. She gambled on the boats to and from Alaska. In the 1920s, Wyatt gave her signed papers and filing fees for an oil lease in Kern County. She gambled away the fees and lied about it. The lease later proved valuable. Distrustful of her finances, Wyatt arranged for her share of his oil royalties to be held by her sister Henrietta, but after Henrietta died, her children voided the agreement.

After Wyatt's death in 1929, Josephine devoted herself to controlling his legacy, and especially hers. She threatened litigation against Stuart Lake while he was writing Wyatt Earp: Frontier Marshal, successfully keeping mention of both Mattie Blaylock and her own past out of the book. She traveled to Boston to try to stop its publication. The book I Married Wyatt Earp, published in 1967 and attributed partly to her manuscripts, was later discredited as largely fictional. Josephine died penniless on December 19, 1944, in Los Angeles. Her funeral was paid for by Sid Grauman and cowboy actor William S. Hart. Though she was not a practicing Jew, a rabbi conducted the service. Her ashes were buried next to Wyatt's in the Marcus family plot at Hills of Eternity Memorial Park in Colma, California, just south of the San Francisco where her story began.