With the attack on Fort Sumter marking the outbreak of the American Civil War, Denby raised a company of volunteer soldiers and guarded the powder magazine near Evansville, Indiana. On September 12, 1861, Denby was commissioned as the Lieutenant Colonel (second-in-command) of the 42nd Indiana Volunteer Infantry Regiment and mustered in at that rank on October 10, 1861. On October 1, 1862, Indiana Governor Oliver P. Morton commissioned Denby as Colonel of the newly formed 80th Indiana Volunteer Infantry Regiment. Denby was not mustered in at his new rank until October 21, 1862, so he was still serving with the 42nd Indiana when it took part in the Battle of Perryville Kentucky on October 8, 1862. It was there that Denby was twice wounded and had his horse killed under him. Colonel Denby officially took command of the 80th Indiana on or before November 22, 1862. In a letter to the army dated January 12, 1863, Colonel Denby resigned his commission, stating: