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In a book I'm transcribing on the Republic of West Florida, the author states that the capture of the fort of Baton Rouge on Sept. 23, 1810, was "the first time in the annals of war" that a fort had been captured by cavalry unaided. My author is a bit jingoistic, and not the most literate, and I doubt his statement is true — but I can't come up with another example before 1810.

It need not be a big fort, just a fort. The fort of Baton Rouge was not a large one, and on that day was manned by 28 soldiers.

Any takers?
After Napoleon's victory at Jena-Auerstadt in 1806 the French cavalry exploiting that victory captured several fortresses unaided.
Wasn't there occasion in Jugurthan War, where Roman cavalry captured a town when dressed as enemy troops? Not sure if it was cavalry or infantry, though.
Frontinus in his Stratagems says: ... ta/3*.html

3 Hannibal captured many cities in Italy by sending ahead certain of his own men, dressed in the garb of Romans and speaking Latin, which they had acquired as a result of long experience in the war.

I'd not be surprised if some of these were cavalry.
Interesting question!

Curio seems to have captured a “camp” using only cavalry.

Quote: Induced by these motives, early in the night he sent all his cavalry to the enemy's camp near the river Bagrada, of which Sabura, of whom we have already spoken, was the commander. But the king was coming after them with all his forces, and was posted at a distance of six miles behind Sabura. The horse that were sent perform their march that night, and attack the enemy unawares and unexpectedly; for the Numidians, after the usual barbarous custom, encamped here and there without any regularity. The cavalry having attacked them, when sunk in sleep and dispersed, killed a great number of them; many were frightened and ran away. After which the horse returned to Curio, and brought some, prisoners with them.

Caesar, Civil Wars, 2.38

I don’t know if this could be considered a “fort” or not. To my untrained eye, I would say not, because it says they encamped “without any regularity” and were "dispersed." I assume that means with no fortifications, but perhaps someone better qualified could help out.

Then in Gallic War 3.26 Crassus’ cavalry took a fortified camp, or spurred the taking of a fortified camp, but they were not unaided.
I don't know whether to be glad this little question isn't as easy as all that — and therefore my author not so bad after all — or what.... I am glad to have exercised and maybe entertained a few noggins onboard.

I'm not having any luck so far in finding the specific forts after Iéna, despite scouring French-language pages, but thanks for the tip Jeff.

The word cavalry or horsemen appears 95 times in the version of the Strategemata on my site, but not once relevantly, although I agree that the passage in III.2.3 is plausible! The main use his examples make of cavalry is diversionary (in one way or another), although that might be expected of a work focusing on stratagems: on the other hand the work is a sort of compendium of many engagements. The closest he comes is a few instances of cavalry being used to lure the occupants of a camp (not a fort) out on a chase, so that other troops can come in and take the more or less empty camp behind them; in particular, II.5.8.

Please consider the question still open!
Spoke too soon! Thanx to Jeff, I've now found one certain instance, predating the capture of Baton Rouge by four years, and we're talking the surrender of 6000 men not 28: Antoine Lasalle captured Stettin, a definite fort, with only his cavalry. They just took one look at his forces, and threw up their arms, apparently:

"Capitulation de Stettin. — Le même jour, le général Lasalle s'avança, avec sa brigade de cavalerie, jusque sous les murs de Stettin, qui capitula sans faire la moindre résistance, et à la première sommation. Stettin, forteresse bien armée, renfermait cent soixante pièces de canon, de nombreux magasins, et six mille hommes de garnison." [Google Books: Abel Hugo, France Militaire / [size=85:d82p6g5a]Histoire des armées françaises de terre et de mer de 1792 à 1837[/size], Vol. 4, p10]
The cases from 1806 are from a situation where the Prussian army had collapsed, and are rather cases of receiving the surrender of garrisons, as opposed to "taking" a fortified place. Stettin was more than a fort, by the way, rather a major fortified city. I don't know what the situation was in Baton Rouge during the Civil War; it could have been merely handing over the keys to the doors, rather than any kind of combat operation.
It certainly does read that way, yes: the cavalry at Stettin didn't actually do anything, just showed up. Are we then back to square zero? I really find it hard to believe that the 20-minute taking of the fort at Baton Rouge was the first instance of such a thing in the annals of warfare. (For the record, the way it was done: the fort had a little gate by the river to let in the day's milk supply every morning, in the form of cows on the hoof — the cavalry commander did a number much like Ulysses under the belly of the sheep out of the Cyclops' cave, following along quietly with Bossie and her contented hosts. Then the 23 of them — cavalry that is, not cows — fought a beef battle against the surprised 28-man garrison inside the fort.)

Oh, and not the Civil War at all, but in 1810: the cavalry was acting on behalf of the soon-to-be Republic of West Florida, against Spain.
I remember something at least slightly relevant on a sign in a neighboring town. Next time I am out that way I will copy it down. It is American Civil War era in Ft.Myers,Fl. I just can't recall the details as it's been awhile. :?