Thayer was then assigned to the cavalry and commanded the District of the Frontier with his headquarters in Fort Smith, Arkansas. He participated in the Camden Expedition and other actions in the region, seeing considerable action at the Battle of Prairie D'Ane. He commanded the rearguard of Frederick Steele's force at the Battle of Jenkins' Ferry, battling Confederate troops under Sterling Price for over four hours before forcing Price to disengage. His delaying action enabled Steele to successfully extricate his army to safety.