Theodore Roosevelt belonged first to the Republican Party and then to the Progressive Party, which was known widely as the Bull Moose Party. He switched parties because he was more reform-minded than the Republicans were at that time.
For most of his life, Theodore Roosevelt was a loyal Republican, running under that party's banner when he ran for New York State Assembly, governor of New York, Vice President of the United States and President of the United States. In all of his elected roles, Roosevelt was a reformer, fighting the stalwarts in his party to institute civil service reform and root out corruption. He only left the party when his chosen successor to the White House, William Howard Taft, proved less progressive than Roosevelt had hoped. Losing his own party's nomination, Roosevelt founded a new Progressive Party. He lost the resulting three-way election to Woodrow Wilson.