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What is the only state whose capital city begins with the letter "F"? Maine Montana South Dakota Kentucky ******** Answer: Frankfort is the state capital of Kentucky, and is located astride a double bend in the Kentucky River in the central portion of the state. According to legend, the town of Frankfort received its name from an event that took place in the early 1780s. Native Americans attacked a group of early European colonists from Bryan Station who were manufacturing salt at a ford on the Kentucky River. Pioneer Stephen Frank was killed, and the settlers thereafter began calling the crossing "Frank's Ford." The capital’s name later evolved into Frankford.