Being located at the end of a peninsula off of a peninsula means that Copper Harbor is literally at the end of the road: US Highway 41 ends just a couple miles beyond downtown Copper Harbor, near Fort Wilkins Historic State Park. However, you still won't have quite reached the very, very tip of the Keweenaw Peninsula just yet. After that pavement ends, you have two choices to reach Keweenaw Point: a rocky, rutted-out 4x4 road or a new singletrack trail.
When looking at a map, the dirt road to Keweenaw Point seems like a good choice for a gravel bike ride from downtown Copper Harbor. The trees are beautiful, and where the road follows the ridgeline, views open up across the peninsula.
However, in actual practice, you'll find that the stretch of road out to the point is rough and wet! The road is littered with deep mud holes filled with boulders in the bottom. While it is possible to squirrel your way around the worst of the mud holes, this road is anything but a smooth, nice gravel bike ride. Adept riders will be able to negotiate this route on a narrow-tired gravel bike, but it would also be well-suited for beginner and cross country mountain bikers on hardtails.
The road is spicy and dicy the entire way, but when you reach the end of the peninsula, you'll feel an immense sense of achievement! The end goal of pedaling this road is the beautiful vista of mighty Lake Superior that seemingly overwhelms and surrounds you, its cold blue waters and omnipresent wind providing a truly visceral experience.
If you take a quick jaunt to the north along the shore, you'll spot a commemorative plaque for the Keweenaw Rocket Range, an isolated launchpad that was used by NASA and the University of Michigan "between 1964 and 1971 for launching rockets for meteorological data collection," according to Wikipedia.
Once done enjoying the beautiful views off the end of the point, return to Copper Harbor the same way that you came.