The first major league player to die in the service of his country was Eddie Grant. With a law degree from Harvard he was quite unlike most of his contemporaries. It was said that instead of the usual "I got it!" called out when a player has a bead on a pop-up, Grant would shout "I have it!"
A native of Franklin, Massachusetts, he played 9 seasons of baseball with four different clubs, most notably the Phillies for whom he held down the regular third base job for most of four seasons, 1907 through 1910. Although only a .249 career hitter Grant nonetheless was able to lead the NL in singles in 1909 and 1910 and in hits overall in '09. A better fielder than hitter he finished near the top of several defensive categories when he was a regular.
Grant appeared in the 1913 World Series with the New York Giants as a pinch hitter and pinch runner. He left the game after the 1915 season to open a law practice in Boston.
He enlisted when his country called as we entered World War I in 1917. Wikipedia summarizes his Army service and the details of his death on the battlefield in France in 1918:
Grant was one of the first men to enlist when the United States entered World War I in April 1917, and he served as a Captain in the 77th Infantry Division. During the fierce battle of the Meuse-Argonne Offensive, all of Grant's superior officers were killed or wounded, and he took command of his troops on a four-day search for the "Lost Battalion." During the search, an exploding shell killed Grant on October 5, 1918. He was the first Major League Baseball player killed in action in World War I. He was buried at the Meuse-Argonne American Cemetery in Lorraine, France.
This New York Times article (opens as a .pdf file) from October 22, 1918 relates the story in full.
I have the Eddie Grant T205 Gold Border (shown above) as well as his T206. The Gold Border cards are just a wonderful set and Grant's is a great portrait I think. Here are a few more pics and details from the life of Captain Eddie Grant found around the 'Net:
Here is the plaque that was installed in the Polo Grounds by the New York Giants to honor him.