"On September 20, 1906 the first stone was laid in place. Over the next five years, 350,000 cubic feet of block would be cut, shaped, and fashioned into the Roosevelt Dam.
The blocks of stone were carved out of the canyon walls. They were lifted by block and tackle and pulled along by cable. It was not uncommon for the hoist to buckle and break. The giant monoliths would be slammed against the canyon wall or dropped in the construction site below.
On February 6, 1911 the last stone was put in place. When completed, it was the largest dam in the world. President Teddy Roosevelt drove up the Apache Trail to attend dedication ceremonies.
The construction of the dam involved thousands. Hiring was straightforward; a foreman would simply size up a man and decide if he could do the work. Jobs requiring diverse skills were plentiful: Stone and timber cutters, canal builders, and horse and mule tenders...Common laborers earned $2.50 per day while powdermen, blacksmiths, and masons made $4 to $5. Almost 100 men died during the construction period. The original town of Roosevelt lies under the waters of Roosevelt Lake."
Another note: This dam was designated as a National Historic Landmark in 1963 but it was withdrawn from the register in 1999. Modifications had to be made to the original rubble masonry dam in order for it to be made safer and to accommodate larger flows of water from the CAP. It's now encased in concrete. It still remains on the National Register of Historic Places.

Information from plaques on the site of Roosevelt Dam.