Not far from the Museu do Rio Cuiabá [1], the Casa do Artesão (Rua 13 de Junho 315, tel. 65/3322-2047, 9 a.m.–6 p.m. Tues.–Fri., 9 a.m.–2 p.m. Sat.) is an early 20th-century mansion where you can purchase art and handicrafts from all over Mato Grosso [2], including ceramics, hand-woven articles, homemade liqueurs, and doces.
For indigenous art and objects head to the FUNAI-sponsored Loja Artíndia (Rua Pedro Celestino 301, tel. 65/3623-1675, 8–11:30 a.m. and 1:30–5:30 p.m. Mon.–Fri.). Mato Grossense groups such as the Xavante, Karajá, and Xingú are all well represented with jewelry, baskets, wooden carvings, and musical instruments.
Since this is cowboy country, if you want to invest in some authentic vaqueiro gear, head to Selaria e Sapataria Centro Oeste (Av. Tenente Colonel Duarte 318, tel. 65/3622-1584), where you’ll find quality boots, hats, jeans, and chaps.
Links:
[1] http://www.moon.com/destinations/brazil/brasilia-and-the-pantanal/the-pantanal/mato-grosso/cuiaba/sights
[2] http://www.moon.com/destinations/brazil/brasilia-and-the-pantanal/the-pantanal/mato-grosso