The first race was held in May, 1875.
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The first Saturday in May is the time of year when the Kentucky Derby is held. That's why the 136th running of the Derby was on May 1st in the year 2010. The 137th will be held on May 7, 2011.
It's in Louisville, Kentucky that the Kentucky Derby is held. Louisville isn't a town. It's a big city. It always has been the location of the Derby, for 136 years straight since May 17, 1875.
The race was held on May 5, 2012.
Horses can only run in the Kentucky Derby as a three year old. As such, no horse ever runs the Derby more than once.
The short (and not sarcastic, either--is: all of them). Horse racing is comprised of many types and levels of races and the Commonwealth of Kentucky is host to all of them at its four racetracks: Churchill Downs (Louisville), Keeneland (Lexington), Turfway Park (Florence) and Ellis Park (Henderson). The most famous of the races however are obviously the Kentucky Derby held on the First Sat. in May at Churchill Downs and the Kentucky Oaks, for 3 yr. old fillies held the Fri. before Derby day. Other famous races held in KY include the Stephen Foster Handicap (Churchill), the Bluegrass Stakes (Keeneland) and the Lanes End (Turfway). And these are just a small sampling. There are horse races held in Kentucky on roughly 300 out of 365 day per year!