France and Germany exchanged declarations of war on 3 August 1914 as World War I began. At the outset of the war, Duval participated in the Battle of the Frontiers, and was taken prisoner by German forces at Maubeuge on 7 September 1914. He escaped on 13 September 1914 and joined the 9th Zouave Regiment, with which he spent the rest of the war. He participated in the First Battle of the Marne in September 1914, and was seriously wounded on 16 September 1914. For his actions, he was made a Knight of the Legion of Honour at the age of 20 on 15 November 1914.