From 1903, Mischchenko was commander of the Trans-Baikal Cossack Brigade. During the Russo-Japanese War of 1904-1905 he commanded a separate East-Baikal Cossack Brigade, which was active in many of the battles of that war. Initially, his forces were in Korea, with instructions to obstruct the landing of the Japanese First Army and its march towards Manchuria. However, after several minor skirmishes, Mischchenko retreated across the Yalu River. He played a minor role on the flanks of the Battle of the Yalu River, and was also part of the Russian defenses at the Battle of Hsimucheng, and Battle of Te-li-Ssu. At the Battle of Liaoyang and at the Battle of Shaho, he commanded the Russian cavalry formations covering the rear guard of the Russian retreat. He was promoted to lieutenant general in October 1904, and appointed commander of the new Cavalier Corps in December 1904 and led a major raid south on 6 January 1905 with 6000 horsemen on a mission to destroy Japanese supplies stockpiled at Niuchang. The mission was a disaster, and the force returned twelve days later with massive casualties. He was wounded in the leg during the Battle of Sandepu and although reinstated as commander of the Cavalier Corps in March 1905, was not in the Battle of Mukden.