At the outbreak of the First World War in 1914, Casey joined the Australian Imperial Force, receiving a commission as a lieutenant in the 3rd Infantry Brigade on 14 September. He was a member of the first convoy on board the Orvieto, and was the responsible officer looking after the German prisoners from the SMS "Emden" following the Battle of Cocos until the ship reached Colombo. He was appointed an aide-de-camp on 27 February 1915, and was appointed a staff captain on the brigade staff on 20 August, receiving the corresponding promotion to captain from the same date. He served at Gallipoli as aide-de-camp to Major General Sir William Bridges. Casey was standing next to Bridges when Bridges was shot by a sniper (he died three days later). A statue of Casey being rescued by a Turkish soldier has pride of place in the Gallipoli battlefields. Later he served in France, where he observed operations and sifted information, earning the Military Cross and promotion to brigade major of the 8th Brigade. This position involved dangerous visits to the front line and he received a Distinguished Service Order in 1918. He resigned his commission in June 1919 and transferred to the Reserve of Officers, serving as a part-time intelligence officer in Melbourne.