Despite his head injury, Cochrane served in the United States Navy during World War II. Commissioned as a lieutenant and assigned to Naval Station Great Lakes, he oversaw physical training of new recruits and coached the base baseball team. On July 7, 1942, Cochrane managed an All-Service team that played against an American League all-star squad at Cleveland’s Municipal Stadium; the American League team beat the servicemen, 5-0. Later in the war Cochrane, by now a lieutenant commander, was assigned to a similar role in the Pacific Theater.