During World War I, Neilson served in the United States Army infantry as a lieutenant. In 1917, at the age of 41, he reported for officers training, located in Plattsburgh, New York. In 1918, Neilson took part in the Second Battle of the Marne, during which his commanding officer was killed. During the battle he was wounded, but still took command of his fellow soldiers and safely entrenched them for 24 hours. He suffered a bullet wound to the stomach and several shrapnel wounds. He spent the rest of the war hospitalized and was later awarded the French War Cross and the Distinguished Service Cross.