The American Buffalo, a recent documentary film series by Ken Burns, includes several quotations that it attributes to a Cheyenne prophet called Sweet Medicine.
Regarding Euorpean settlers:
There is a time coming. Many things will change. Strangers will appear among you. Their skins are light-colored, and their ways are powerful. These people do not follow the way of our great-grandfather. They follow another way. [...]
These strangers will be a people who do not get tired, but who will keep pushing forward, going, going all the time. They will keep coming, coming. Follow nothing that they do, but keep your own ways that I have taught you as long as you can.
Regarding the horse:
There will be an animal you must learn to use. It has a shaggy neck and a tail almost touching the ground. Its hooves are round. This animal will carry you on his back and help you in many ways. Those far hills that seem only a blue vision in the distance take many days to reach now, but with this animal, you can get there in a short time, so fear it not. Remember what I have said.
While the film initially left me with the impression that Sweet Medicine was a known historical person from the period of initial European contact, the paucity of sources I'm seeing online leads me to think that he is more of a legendary figure or cultural hero known only from oral tradition. The Wikipedia article on the Cheyenne people simply states (apparently without relevant links or citations):
Sweet Medicine is the Cheyenne prophet who predicted the coming of the horse, the cow, the white man and other new things to the Cheyenne. He was named for motsé'eonȯtse (sweetgrass), one of the sacred plant medicines used by many Plains peoples in ceremonies.
So how exactly are these prophecies known to us today? Is it primarily from the oral traditions of living Cheyenne people? Or are there written sources (perhaps old ethnography) that the film might be quoting from?