Geronimo. In February 1909, Geronimo was thrown from his horse while riding home, lay in the cold all night before a friend found him. He died of pneumonia on 2/17/1909, as a prisoner of the U.S. at Fort Sill, OK. His last words were reported to be said to his nephew, "I should have never surrendered. I should have fought until I was the last man alive." He was buried at Fort Sill, OK in the Apache Indian Prisoner of War Cemetery.