“This ain’t my first rodeo” means “this isn’t my first time.” It is a similar saying to “I wasn’t born yesterday.”
   
The phrase dates to at least the movie Mommie Dearest (1981), the Joan Crawford biopic, where she is credited with saying, “Don’t fuck with me fellas. This ain’t my first time at the rodeo.” Vern Gosdin released the song “This Ain’t My First Rodeo” in 1990.
 
“I didn’t realize I was supposed to know how to do everything by my second rodeo. Seems like a very low amount of rodeos” and “People never tell you when it’s their first rodeo, but are eager to inform you when it’s not” are related sayings.
 
[This phrase was discussed on the American Dialect Society listserv (ADS-L) in September 2011; some of the following citations were found by Bill Mullins, Jesse Sheidlower and Garson O’Toole.]
       
   
Newpapers.com
22 August 1981, Tampa (FL) Tribune, “Quarterbacks Nielsen, Ford In The Spotlight” by Jim Selman, pg. 6-C, col. 6:
But just how will he react?
 
“I don’t know,” he (Mike Ford, a quarterback—ed.) said. “This is my first rodeo.”
 
Newspapers.com
22 August 1981, St. Petersburg (FL) Times, “Intense Bucs not intent on winning” by Mike Tierney, pg. 1-C, col. 6:
Ford, a Texan by birth, said he was excited and nervous about what he described as “my first rodeo,” although the emotions have not seemed to unduly affect him. He had just been awakened from a nap.
 
The Internet Movie Database
Memorable quotes for
Mommie Dearest (1981)
[addressing the men in the Pepsi boardroom]
Joan Crawford: Don’t fuck with me fellas. This ain’t my first time at the rodeo.
 
5 Mar 1983, Fredericksburg (VA) Free Lance-Star, pg. 7, col. 4:
“But this ain’t my first rodeo,” he (NASCAR driver Darrell Waltrip—ed.) cracked.
 
Google Books
The Judds: a biography
By Bob Millard
New York, NY: Doubleday
1988
Pg. ?:
Naomi is not a shy woman; she has never claimed to be. “I’m divorced and I’ve been to the circus and I’ve seen the clowns,” as she put it “This ain’t my first rodeo.”
 
30 July 1989, Mobile (AL) Press-Register, “SWAC coaches pick Jackson State once again” (Associated Press), pg 5C, col. 1:
Kimble (Southern University football coach Gerald Kimble—ed.) noted that he may be in his first SWAC job but that at 47 he’s no beginner. He once served as an assistant coach at Southern and was a successful high school coach.
 
“This is not my first rodeo,” he said. “I’ve been on a horse before. We’ll be exciting. We’ll throw the ball around a little bit.”
     
26 October 1990, Frederick (MD) Post, pg. C8:
COUNTRY SINGLES
(...)
14. “This Ain’t My First Rodeo” Vern Gosdin (Columbia) 
 
Google Groups: misc.consumers.house
From:  Ron Rothenberg
Date:  Mon, Jan 23 1995 3:56 pm
 
>Maybe it was indeed only worth $50K, or less.
not so….this ain’t my first rodeo…
 
21 July 1999, New York Times, “Clemens Is Looking For His Keys” by Harvey Araton, pg. D1:
Clemens is 36, a certain Hall of Famer who teaches us again that there is apparently no immunity to the misplacement of belief. Back in Boston and again in Toronto, the Texan had already gone through the process of reinventing himself. Whatever he’s really thinking about his power pitching, he’s publicly playing it cowboy cool.
 
“This is not my first rodeo,” he said. “I’ve been down the road.”
 
Google Books
Delirium of the Brave
by William C. Harris, Jr.
New York: St. Martin’s Press
2001
Pg. 320:
Vinnie snickered. “This ain’t my first rodeo. Everybody claims to have killer weed.”   
 
Google Books
Body Language and Soulful Thoughts
by Petey Parker
Denton, TX: Rogers Publishing & Consulting, Inc.
2004
Pg. 67:
For anyone not born in the Lone Star State, the Texan accent and cowboy colloquialisms can seem a bit strange. Here is a guide to a few of the more colorful expressions you may encounter:
(...)
This ain’t my first rodeo=I’ve been around awhile.
 
YouTube
“This ain’t my first time at the rodeo!”
Mudhooks
Published on Jun 12, 2009
Classic