Key settled in the town of Wewoka and established the Key Hardware Co. and the Wewoka Gas Co. and enlisted the Oklahoma National Guard. He was commissioned again and promoted to first lieutenant on July 12, 1912, and to captain in summer 1916. Key then assumed command of Company G, 1st Oklahoma Infantry Regiment stationed in Wewoka and served on the Mexican Border during the Pancho Villa Expedition, when his unit was called up for federal service in March 1917 at Fort Sill, Oklahoma.