After her brother was killed by Jim Parker in 1994, Gwen was distraught. Fox Mulder, investigating the killing of Joseph with Dana Scully, came to believe that Gwen could be a manitou, a mythical spirit that could change a human into a beast.
After Joe's body was burnt, Gwen went to the Parker ranch, intending to attack Lyle for attending her brother's funeral. It was there that she saw the manitou kill Jim Parker. She ran and hid in the woods for hours.
Gwen later left the Reservation, giving away all her possessions. With her brother and the Parkers dead, there was nothing to keep her there. It may also have been due to her sighting of the manitou, in Sheriff Tskany's words, "she saw something that she wasn't ready to understand". (TXF: "Shapes")