Wright had lived in the small southern Utah town until he was 16, when his family that includes 12 brothers and sisters moved to Milford.
According to an account of the parade in the Hurricane Valley Journal, the town's police and fire department escorted Wright through the streets, which were lined with family, friends and former neighbors.
"He is a nice kid," mayor Tom Hirschi told the newspaper. "You don't have any trouble rooting for him because he's not cocky. He's just unassuming . . . a grateful kid. Just nice, calm and polite. You just love the pieces out of him."
Five years later, only one thing has changed.
Wright remains soft-spoken and humble - someone whose eyes search the room when reporters ask their questions. But Sunday, Wright returns to Milford as the reigning world saddle bronc champion.
He clinched his first title Friday, making the no-score he took in the final round of the Wrangler National Finals Rodeo on Saturday night easier to digest.
"There might be a celebration tonight," he said. "All my family is down here, so we'll probably go out to dinner anyway."
Befitting his personality, there was no party after Wright's winning performance.
"Just finished out the day," he said, "and went to bed."
Many others, however, were thrilled for likable Utah cowboy who is 31 but, because of his closely-cropped hair and wiry 145-pound frame, looks 10 years younger.
"My voice mail filled up fast," he said. ". . . Everybody was pretty excited."
Wright credits a new dedication to physical conditioning for his ability to avoid injury and win his championship.
"I've been running a couple of miles a day," he said. "If I wasn't running, I was jumping rope or lifting weights - [doing] push-ups, sit-ups. . . . Ten days here on these rank horses, it definitely makes you sore. But I think it's paid off a bunch. I felt good down here - better than I ever have."
Wright hit a few bumps in the road at the start of his 13-night journey to the world title.
In Round 1, he finished 13th. In Round 3, he failed to completed his 8-second ride.
At that point, Wright turned to Shawn Davis, a former three-time world champion who also happened to be his coach at the College of Southern Idaho.
"I was trying to get some things ironed out," Wright said. "I wasn't riding that great in the first couple of rounds and he said, 'Make them take it from you. Don't give it to them.' So I started doing what I had done all year."
Like finishing rides and cashing checks.
Wright won three rounds in the next six nights, including his championship clincher. He also placed third and fifth.
His friend and fellow saddle bronc rider, Rusty Allen of Eagle Mountain, was happy to see Wright regain his best form.
"Absolutely," Allen said. "In the bronc riding, all of us like to see everybody ride good. We're all friends. I travel with Cody and I'm good friends with everybody else. That whole locker room is pretty tight."
Wright has overcome two serious injuries during his career.
In 2002, he broke his leg at the New Mexico State Fair Rodeo in late September and ended up 16th in the world standings.
Then, over the Fourth of July weekend in 2005, Wright broke his leg in a rodeo at Cody, Wyo. He ended up fourth in the world.
This season? No problems.
"Luckily, I stayed healthy," Wright said. "I think that's the most important thing. Whether you get bucked off or not, if you're healthy, you can go get on another one."
At this year's National Finals, Wright rode six of his 10 bulls. He won three rounds, finished third in the average, won a total of $102,223 and finished the season with total earnings of $247,415.
Is it time for another parade?
"It really hasn't sunk in yet," Wright shrugged.
Meanwhile, seven other Utah cowboys competed in the final round of the National Finals.
In bareback, Elk Ridge's Kaycee Feild tied for 12th with a score of 83.5, but it was not good enough to earn him a paycheck.
In the bull riding, Tooele's Shawn Proctor won for the second time during the NFR. His score of 82 was worth $16,766. Payson's Wesley Silcox and Steve Woolsey failed to score
In the saddle bronc riding, Allen finished sixth after posting a score of 80.5. He earned $2,704. Oakley's Anthony Bello scored a 78.5 but did not earn a check.
In tie-down roping, Spanish Fork's Clint Robinson failed to record a time. But he finished the National Finals with earnings of $42,728.
Born: April 1, 1977
Residence: Milford, Utah
Rodeo event: Saddle bronc riding
Joined PRCA: 1998
NFR appearances: Six
World titles: One
College: Southern Idaho
Career highlights: College National Finals runner-up (2001); Won Grand National Rodeo in San Francisco (2001); Finished third in the world standings (2003); Finished 12th in the world standings (2004); Finished fourth in the world standings (2005); Won Greeley (Colo.) Independence Stampede (2006); Finished fifth in the world standings (2006); Co-champion at the San Antonio Stock Show and Rodeo (2007); Won Greeley (Colo.) Independence Stampede (2007); Won two rounds and finished second at the Wrangler National Finals Rodeo (2007); Won Star of Texas Fair and Rodeo in Austin (2007); Won Greeley (Colo.) Independence Stampede (2007); Won Sandhills Stock Show and Rodeo in Odessa (2007); Won three of the first nine rounds at the NFR to capture his first world championship. ... Married ... Wife's name is ShaRee. ... Father of four sons (Rusty, Ryder, Stetson, Statler).