My great great grandfather was a cowboy who never filled out a census?

I am trying to find out more information about my heritage, and family history. I have a membership to ancestry.com, and have explored MANY other websites of the sort, but I have hit a brick wall. My great great grandfather never filled out a census, and both his son and grandson (my grandfather) are deceased, my dad knows nothing about him either. What avenues can I take, all I know is his name, and that he was born in Oklahoma or Missouri. (we also have one picture, but that's it)? I really have no idea, please help!