I believe that Sitting Bull was killed on December 15, 1890, which was 14 days before the Wounded Knee Massacre.He was shot by Lieutenant Bull Head, who was the Indian policeman who had been orderd to "secure the person of Sitting Bull", first and then killed by another Indian policeman, Sgt. Red Tomahawk, who shot him through the head.Catch-the-Bear, who was one of the Ghost Dancers there with Sitting Bull, shot Bull Head in the side wounding him.As Bull Head was falling, he tried to shoot back at Catch-the-Bear, but the bullet hit Sitting Bull by mistake.This was when Red Tomahawk immediately shot Sitting Bull through the head, killing him.
After Big Foot found out that Sitting Bull had been killed, he started moving his people toward Pine Ridge.He had hoped that Red Cloud could protect them from the soldiers.
Sitting Bull was in Canada about 1877 and crossed the border back into the US on July 19, 1881.
I think that Red Cloud said it best, in one of my favorite quotes "They made us many promises, more than I can remember, but they never kept but one; they promised to take our land, and they took it."