In 1914 he married his first wife Mara Jankowsky. World War I started soon afterward and Fejos worked as a medical orderly for the Imperial Austrian Army on the Italian front lines. During the war he also managed a theatre that performed for the troops. Some additional myths about Fejos' life that surfaced a year later include that he was an officer in the Hussars, was wounded three times and that he was the first person to pilot a combat airplane in the entire war. After the war Fejos returned to Budapest and began working as a set painter for an opera company and eventually for the Orient-Film production company. He was divorced from his first wife in 1921, allegedly because of his irrational jealousy. Fejos first began directing films in either 1919 or 1920 for Mobil Studios in Hungary. His earliest silent films included "Pán", a fantasy based on the mythological character, "Lord Arthur Savile's Crime", based on a play by Oscar Wilde, "The Black Captain", a film about police corruption in New York City, "The Last of Asène Lupin", a remake of the popular American serial film, and "The Queen of Spades", based on the novel by Alexander Pushkin. Fejos always saw film as closer to painting than to theatre and was more concerned about issues of light and shadow than story. He also stated at this time that no great film would be made until it could be shot in color. Just as other prominent Hungarian filmmakers like Michael Curtiz and Alexander Korda had done, Fejos left Hungary in 1923 to escape the White Terror and the Horthy regime. He first travelled to Vienna where he was briefly employed by Max Reinhardt, then to Berlin where he worked as an extra on a Fritz Lang's "Die Nibelungen". He then moved to Paris where he staged an unsuccessful production of Walter Hasenclever's avant-garde play "L'Homme". He finally emigrated to the United States in October 1923. He arrived in New York City penniless and spoke little English, but managed to get several low paying jobs at funeral parlors or piano factories. By the spring of 1924 his English had improved and he managed to get a job as a laboratory technician at the Rockefeller Institute for Medical Research. He earned $80 a week and was employed there for two years. In 1925 he married a co-worker named Mimosa Pfalz, but the marriage lasted only 30 days. While living in New York he did manage to land one theater gig as a technical advisor to ensure the Hungarian atmosphere of an adaptation of Ferenc Molnár's "The Glass Slipper".