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Diego can most often be found in Chuparosa outside the Mayor's Office. However, if Marston has a bounty, Diego will become hostile and attack him.
Diego can also be found in a random encounter in which his prison transport is attacked and two criminals have broken loose. He will then ask the player to catch or kill the criminals. He can also be killed but this will result in negative honor.
The prisoners break free, Señor. They kill my judiciales. Por favor, you must stop them.
—Diego Bocanegra asking the player to capture two criminals
Gracias, Señor. These men will never see daylight again.
—Diego Bocanegra thanking the player before executing the two criminals
Diego is the only Federale who doesn't wear a hat. However, he does wear a hat on his unused wanted poster.