However, when gold was discovered in Montana and word reached Chicago of the booming mining camp of Helena, Hensley decided to take advantage of the “business opportunities” that a prosperous mining camp could provide.

At the age of twenty-three, the perky, curly-haired girl established Helena’s first house of ill-repute in a log cabin. Providing a full orchestra as additional entertainment for her customers, Henley’s business was an immediate success among her customers, who soon dubbed her “Chicago Joe.”

The popular madam soon recruited a number of new girls from Chicago, who also found themselves successful as the shared in not only the profits of their personal services, but also in the profits of drinks sold and dancing with the customers.

By 1874, Hensley was doing so well that she moved her business into a larger building and began to invest in real estate, forming a number of partnerships with the town’s affluent businessmen. She soon was the largest landowner in the red light district which flourished between Wood and Bridge Streets, owning the “Grand” bordello, the Red Light Saloon, and the Coliseum variety theater, as well as having her hand in a number of other businesses.

But prosperity for Chicago Joe would not continue at the same pace. In 1885, the Montana legislature ordered the prohibition of “hurdy-gurdy” houses. As the “Queen of the Red Light District,” the new law sought to prosecute Josephine first. However, when she was hauled into court, her attorney pointed out that she didn’t and never had provided musical entertainment by means of a “hurdy-gurdy.” She was found not guilty. Montana's attempt to “lump” all such businesses into the catch-all term of “hurdy-gurdy” had failed.

However, the writing was on the wall for the thriving red light district. Josephine closed up “shop” for a while and kept a low profile. Later, she reopened her business, hiding behind the façade of a “variety theater,” where personal services could also be obtained.