Alkali Ike’s Auto
Bank Robbery
Broncho Billy and the Greaser
Broncho Billy and the School Mistress
By the Sun’s Rays
De Landverhuizers
De wigwam
From Leadville to Aspen: A Hold-Up in the Rockies
Hell’s Hinges
Juan and Juanita
Martyrs of the Alamo
The Battle at Elderbush Gulch
The Greater Love
The Great Train Robbery
The Indian Brothers
The Invaders
The Life of Buffalo Bill
The Post Telegrapher
The Squaw Man
The Struggle
The Virginian
The Witch of the Everglades
When the West Was Young
White Fawn’s Devotion

Internet sources:
List of Western films before 1920
The Silent Western
Filmsite: Western Films (1-5)
Images: Silent Western