Bullock's friendship with Roosevelt led to his becoming a Captain of Troop A in Grigsby's Cowboy Regiment. This was another volunteer cavalry regiment which Congress authorized in the Spring of 1898. It was similar in composition to Theodore Roosevelt's Rough Riders, which saw action in Cuba during the Spanish–American War. Although Troop A never left training camp in Louisiana before the war ended, Bullock earned the rank of captain. When Roosevelt became vice president under President William McKinley, he appointed Bullock as the first forest supervisor of the Black Hills Reserve. After Roosevelt was elected president, Bullock organized 50 people (including Tom Mix) to ride in the inaugural parade in 1905. Bullock was then appointed U.S. Marshal for South Dakota for the next nine years. Roosevelt later selected Bullock as one of 18 officers (others included Frederick Russell Burnham, James R. Garfield, and John M. Parker) to raise a volunteer infantry division, Roosevelt's World War I volunteers, for service in France in 1917.