He joined the expedition on October 20, 1803, in Clarksville, Indiana; he was one of the "nine young men from Kentucky" who joined the Corps. It was the rule not to hire married men, but an exception was made for Pryor, this says much for his abilities and the high esteem in which he was held. Pryor was made sergeant in 1804, and led the First Squad of six privates. William Clark later wrote, "Capt. Pryor served with me, on an expedition to the Pacific ocean in 1803, 4, 5, and 6 in the capacity of 1st Sergeant." Lewis and Clark considered Pryor "a man of character and ability." In June, 1804 he presided over a court martial of privates John Collins and Hugh Hall, accused of theft of whiskey and drinking on duty; the men were found guilty and sentenced to a flogging.