The bluebird is very blue, as blue as a brilliant lake. Many moons ago the bluebird used to be white. One day he was flying and came upon a lake and saw how blue and beautiful it was. He stopped and asked Grandfather, "Grandfather, can I be as blue as that lake?" So Grandfather gave him a song to sing. He told him what to do. Every morning for five mornings the bluebird would dive down into the lake singing the song taught to him by Grandfather then come back up. The whole time he was doing this the coyote was watching him. On the fifth day, the bluebird dove into the lake, and when he came back out, he was as blue as he is today. 

The coyote saw this and thought to himself, "Hmmmm... I'd like to be as blue as that bluebird." So he said to the bluebird, "Teach me your song." So every morning for the next five days the coyote would take a bath and sing the song from Grandfather. And on the fifth day the coyote came out and was just as blue as the bluebird. The coyote looked at himself in the reflection of the water and thought, "My, I'm the prettiest coyote there is. There is none prettier than me." 
So he strutted down the road, not unlike a peacock, looking around to make sure all the other animals could see him and see how truly beautiful was his color. He was so intent on having everyone know how colorful and beautiful he was that he paid no attention to where he was going in the road. He ran into a tree, fell down into a dirt road, rolled around and came up. That's why, when you look today, he's brown and dirty. That's how he got the color of his fur.