In June 1865, rather than surrender, Shelby and approximately 1,000 of his remaining troops rode south into Mexico. Reportedly, Shelby sank his battle flag in the Rio Grande near present-day Eagle Pass, Texas, on the way to Mexico rather than risk the flag falling into the hands of the Federals. The event is depicted in a painting displayed at the Eagle Pass City Hall. For their determination not to surrender, Shelby's men were immortalized as "the undefeated". A later verse appended to the post-war Confederate anthem "The Unreconstructed Rebel" commemorates the defiance of Shelby and his men:
I won't be reconstructed, I'm better now than then.
And for a Carpetbagger I do not give a ****.
So it's forward to the frontier, soon as I can go.
I'll fix me up a weapon and start for Mexico.[12]