Theodore Roosevelt survived an assassination attempt during a campaign stop in Milwaukee on Oct. 14, 1912. He then delivered an 84-minute speech after he was shot in the chest.

One hundred and twelve years ago, Theodore Roosevelt was campaigning to return to the presidency when a gunman opened fire. He gave his speech anyway with a bullet in his chest.

No wonder that Theodore Roosevelt—smiling, robust, tough—remains popular in the American imagination. And it’s no surprise that Elon Musk and Don Trump Jr., among others, ...