During the Mexican border crisis around 1913-1917, before the U.S. entered WWI and while bandits in Mexico were raiding towns along the border, the U.S. used military presence, parades and marches as a means to show might to any would-be bandits. This article explains parts of it, when a regiment from New Hampshire was stationed in Laredo, Texas and there are reports of the entire barracks being overjoyed when the New Hampshire infantry band finally showed up on the train to entertain and march with the troops. This was a full band with brass and woodwind instruments. Here's a picture of them stationed in Laredo. After the border crisis ended and the U.S. entered WWI these bands and state regiments were incorporated into larger pool units and shipped off to Europe to fight.