Never watched it, but given Moore's ludicrously left-wing stance on absolutely everything, and the false correlation between the NRA and KKK, I'm sure most of it is bunk. Honestly, the NRA and KKK were founded in the same year? What possible difference does that make? In the aftermath of the Civil War, two things were apparent: slavery was abolished, and Union troops had been out-shot man-for-man by their Confederate opponents during the entire duration of the war. A couple of Union officers formed the National Rifle Association to teach marksmanship, so that the country would have a wide base of expert riflemen to draw on in the next conflict. The KKK, on the other hand, was formed to rectify the fact that the South had lost, slavery was abolished, and some guys didn't like black people. I'm not seeing the connection.
BUT WAIT! If we go a little further down the rabbit hole, we see that also in 1871 was THE GREAT CHICAGO FIRE!!! *cue the Twilight Zone theme* Coincidence? I THINK NOT!