In the book "Hollywood, the Pioneers" Kevin Brownlow quoted from a 1957 filmed interview of the first western movie star, Broncho Billy Anderson, that was conducted by Paul Killiam and William K. Everson. Here are a few of his references to The Great Train Robbery (1903):
When applying to be a train robber, Anderson was asked if he could ride. "I was born in the saddle," he lied. When he fell off his horse, he was given other duties. "We made it all in two days. Then it was finished and taken to the reviewing room. After it was reviewed, they all looked up and they were dubious whether it would go or not. And Porter said, 'Well, the only way we can find out is to try it out in a theater.' They tried it out first in the Eden Musee, on 14th Street, and we all went down to see it. They were all seated there, and the chairman came out and made and announcement: they were going to see something wonderful, The Great Train Robbery.
The audience didn't seem to take to the idea very much, and then it started. They all started to get boisterous, and yell and shout 'Catch 'em! Catch 'em! and different kinds of epithets, you know. When the picture was over, they all stood up and yelled and shouted 'Run it again, run it again.' So they did run it again, and then they wanted to run it again. Finally they turned on the lights and they had to put them out. And then on the outside there was a big gathering, that had got wind of it all, ready to come in again. I think they ran it for a couple of days.
"They then ran it to get the reaction of a better class of audience up at Hammerstein's at 42nd and Broadway. That was a vaudeville house. I was a little dubious about how it was going to go with that audience. When the picture started they all started to get up as usual and walk out, but then turned back to look at it, and they all, slowly, as the picture went on, went back to their seats. And they sat there, stupefied. They didn't yell, but they were mystified at it. And when it was over, with one accord they gave it a rousing reception. I said to myself then, 'That's it. It's going to be the picture business for me. The future had no end."

An Introduction: The First Movies
Main Section of Teddy Blue's Bunkhouse