Pike Expedition

(Wikipedia) The Pike Expedition (July 15, 1806 – July 1, 1807) was a military party sent out by President Thomas Jefferson and authorized by the United States government to explore the south and west of the recent Louisiana Purchase. Roughly contemporaneous with the Lewis and Clark Expedition, it was led by United States Army Lieutenant Zebulon Pike, Jr. (He was promoted to captain while on the trip.)
... Pike's company made several errors and ended up in Spanish territory in present-day Southern Colorado, where the Americans built a fort to survive the winter. Captured by the Spanish and taken into Mexico in February, their travels through present-day New Mexico, Mexico, and Texas provided Pike with important data about Spanish military strength and civilian populations. Continued