After briefly commanding rams in the Confederate riverine fleet in 1862, Thompson was reassigned to the Trans-Mississippi region. There, he engaged in a number of battles before returning to Arkansas in 1863 to accompany Gen. John S. Marmaduke on his raid into Missouri. Thompson was captured in August in Arkansas, and spent time in St. Louis' Gratiot Military Prison, as well as at the Fort Delaware and Johnson's Island prisoner-of-war camps ("Poor old Jeff, how my heart went out to him; he a prisoner and his devoted wife in a madhouse", Major Lamar Fontaine wrote later).