After earning his bachelor of arts, Donovan spent two years at Columbia Law School, where he was a classmate of Franklin D. Roosevelt, and studied under Harlan Fiske Stone. Returning to Buffalo, he joined the respected law firm of Love &amp; Keating in 1909 and, two years later, opened his own Buffalo firm in partnership with a Columbia classmate, Bradley Goodyear. In 1914, their firm merged with another, becoming Goodyear &amp; O'Brien. In 1912, Donovan helped form, and became the leader of, a troop of cavalry of the New York National Guard. This unit was mobilized in 1916 and served on the U.S.–Mexico border during the American government's campaign against Pancho Villa. He studied military strategy and combat tactics. He also took acting courses in New York City from a stage star of the day, Eleanor Robson. In 1914, he married Ruth Rumsey, a Buffalo heiress who had attended Rosemary Hall.