I'm From Missouri, Show Me.

From the Secretary of State archives:

Why Is Missouri Called the "Show-Me" State?

There are a number of stories and legends behind Missouri's sobriquet "Show-Me" state. The slogan is not official, but is common throughout the state and is used on Missouri license plates.

The most widely known legend attributes the phrase to Missouri's U.S. Congressman Willard Duncan Vandiver, who served in the United States House of Representatives from 1897 to 1903. While a member of the U.S. House Committee on Naval Affairs, Vandiver attended an 1899 naval banquet in Philadelphia. In a speech there, he declared, "I come from a state that raises corn and cotton and cockleburs and Democrats, and frothy eloquence neither convinces nor satisfies me. I am from Missouri. You have got to show me." Regardless of whether Vandiver coined the phrase, it is certain that his speech helped to popularize the saying.

Other versions of the "Show-Me" legend place the slogan's origin in the mining town of Leadville, Colorado. There, the phrase was first employed as a term of ridicule and reproach. A miner's strike had been in progress for some time in the mid-1890s, and a number of miners from the lead districts of southwest Missouri had been imported to take the places of the strikers. The Joplin miners were unfamiliar with Colorado mining methods and required frequent instructions. Pit bosses began saying, "That man is from Missouri. You'll have to show him."

However the slogan originated, it has since passed into a different meaning entirely, and is now used to indicate the stalwart, conservative, noncredulous character of Missourians.

Resources:
Rossiter, Phyllis. "I'm from Missouri--you'll have to show me." Rural Missouri, Volume 42, Number 3, March 1989, page 16.

Official Manual of the State of Missouri, 1979-1980, page 1486.

The slogan also conotates a certain self-deprecating stubbornness (sometimes interpreted by non-natives as gruffness or a bit of arrogance) and devotion to simple common sense, .