Saxon served in the First World War as an officer in the New Zealand Rifle Brigade. While serving as a lieutenant in the 4th Battalion in 1916 he was awarded the Military Cross for "conspicuous gallantry in action". In 1918, as a captain in the 1st Battalion, he was awarded a bar to his MC for "conspicuous gallantry and devotion to duty". Each time he had shown courage and leadership under fire, the first time while wounded. His older brother Jack was killed at the Somme in 1916.