From the pages of Albuquerque: A Narrative History, by Marc Simmons, 1982, pages 321-322:
The fair always attracted large numbers of Indians, who performed dances and foot races in front of the grandstand. Pueblos [Indians] living in the Rio Grande Valley usually arrived by train, taking advantage of free passage charitably offered them by the AT&SF. The Navajos, scattered through the mesa lands to the west, came by horseback. During the 1903 fair, some 200 rough-looking members of the tribe rode in from the remote Chaco Canyon area of northwestern New Mexico. Colonel D. K. B. Sellers, president of the fair that year, saw them and conceived the idea of staging a sham battle, modeled after the Buffalo Bill Wild West Show, then immensely popular throughout the country.
He had little trouble gaining compliance of the Indians, the Fort Wingate cavalry troop, and a crew of stray cowboys. According to a hastily devised program, the colonel would ride across the baseball diamond in the center of the racetrack mounted on his stout gray horse. On signal, the Indians were to ambush him with much shouting and shooting. Then enter the cowboys firing six-shooter volleys. When it appeared they were getting the worst of it, the cavalry would rush to the rescue amid another crescendo of gunfire. The United States Army commander willingly supplied a plentitude of blank cartridges for all this staged mayhem.
It was early afternoon and the stand was packed with spectators contentedly downing sack lunches. Just as the performance was about to begin, Colonel Sellers received a shocking bit of news: some of the warriors were planning a genuine massacre. The Indian wars had long been over, but a number of these particular Navajos, it seems, still nursed a grudge against white men in uniform. They had thrown away their blanks and substituted live cartridges.
The colonel moved quickly. Slipping up behind the band leader he snatched his pistol from the holster, broke open the cylinder and, sure enough, real bullets. Summoning members of the Albuquerque police, Sellers conducted a hasty search and found thirty other loaded revolvers. The culprits were marched off to jail. The crowd, unaware of the near tragedy, waited impatiently for the start of the show. Colonel Sellers, as scheduled, rode his big gray onto the field and the battle went on according to plan–with one minor adjustment. The remaining Indians confined their demonstration to loud whooping; they had been relieved of all their firearms.
The curious incident at the Albuquerque fair was reported to Washington. As a result, the army issued explicit orders that no troops should ever again be allowed to join in a sham battle with Indians.