Sometime possibly in the late 60's early 70's when the team first emerged, but it should be noted that the term "Who Dat?" is common slang in the south, especially in New Orleans, so the cheer version of it was most likely not new or exclusive to the Saints. Though there are some who claim the phrase in other states and say that New Orleans stole it from them, it's more believable that it started with Louisiana and the rest of the south since it is apart of everyday speech.
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It began circa 1983, when Bum Phillips was head coach of the Saints and the team came close to making the playoffs. New Orleans fans adopted a popular football chant and adopted it as their own. It went: "Who dat? Who dat? Who dat say dey gonna beat dem Saints? Who dat? Who dat?" Occasionally, opposing teams would defeat the Saints and respond, "We dat!"