After his training, Matthews was first stationed in Fort Huachuca in Arizona. At the time, the army was still using Native Americans as guides in the western United States. During his tenure in the state, he was regarded as an excellent marksman. Next, he joined General John J. Pershing's campaign into Mexico in 1916 to hunt for Pancho Villa. Although Matthews admitted to never having met Villa, he would claim that "I knew where he was at." During World War I, the battlefields of Europe were not conducive to cavalry; the 10th Regiment performed duty on the border with Mexico, including skirmishes with Mexicans and their German military advisors in the vicinity of Nogales, Arizona.