Culpeper, I am going to brag once again, but.....
The following link to YouTube is a moving picture of "President McKinley's Funeral Cortege at Buffalo, NY", part 1. Lead by the Buffalo Police Department and then Company I of the 14th Regiment, which my great grandfather was a part of. Not a movie, but the actual thing. They are carrying the M1898 Krag Jorgensen. Perhaps you can make a stretch of things and include this very early film on your list.

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