Robert M. Utley has been called “the Dean of Western History,” a fitting moniker given the nearly two dozen books he has published on subjects ranging from Billy the Kid to the Texas Rangers, not to mention his tenure as chief historian of the National Park Service. Perhaps Mr. Utley’s finest achievement is “The Lance and the Shield,” his celebrated 1993 biography of Sitting Bull, the Hunkpapa Lakota chief and holy man forever linked by the Battle of the Little Bighorn to Gen. George Armstrong Custer, whose dashing military exploits have captivated Mr. Utley since boyhood. But as he explains in the preface to his new book, Mr. Utley has long felt that, like other biographers of Sitting Bull, he hadn’t paid sufficient attention to the chief’s “Canadian Years,” the four-year period when Sitting Bull and his followers sought refuge north of the border in the aftermath of Custer’s annihilation. Now, at the age of 90, Mr. Utley has attempted to fill that gap with “The Last Sovereigns: Sitting Bull and the Resistance of the Free Lakotas.”