At the beginning of World War I, Conneau held the rank of "général de division" and commanded the 10th Cavalry Division, which immediately moved east of Lunéville. In October 1914, Conneau was put in command of the , a command he held until 1917. The corps took part in operations around Sarrebourg and, after the Great Retreat ended and the offensive recommenced, played an important role in the First Battle of the Marne, supporting the Fifth Army during operations around Berry-au-Bac, Pontavert, and Sissonne. During the Race to the Sea, Conneau commanded the 1st and cavalry corps, which included French and British units. Never had such a large cavalry unit operated under one command. It became known as the Conneau Cavalry Corps.