"Bison were introduced into the area in the mid-1940s",
"The original 18 animals of the Henry Mountains herd were transplanted from Yellowstone National Park in 1941. They were released not into the mountains, but the arid desert of Robbers Roost [approximately 50 miles] northeast of their eventual home."
"In 1963, the herd moved again, this time into the mountains themselves, abandoning the desert life."
Apparently they didn't like the heat of the southern Utah desert and moved themselves to the mountains.
The Henry Mountains bison herd, numbering 250 to 400 bison, is one of only four free-roaming and genetically-pure herds on public lands in North America. The other three herds are the Yellowstone Park bison herd which was the ancestral herd for the Henry Mountains animals, the Wind Cave bison herd...
https://en.wikipedia.org/wiki/Henry_Mountains_bison_herd