I can remember Sears selling ammo, but was too young to buy any. Also remember Montgomery Ward selling shotgun shells under their name. The box may still be at my dads place and I will have a look this weekend.
It would probably make an interesting collection of you tried to collect store brand cartridges.
Some of the store brand rifles were really nice guns. All kinds of companies sold them. My dad had a Western Field which was a Montgomery Ward brand. It was a Mauser 98 action made by Heym. The only thing cheap about it was the birch stock it was in. The bluing was fantastic, the action smooth, and nicely accurate. The old man had no idea it was a high quality rifle until I started to get into guns years after he bought it. It cost less than a Winchester, or, Remington at the time and price was the deciding factor.