After Red Harlow escaped imprisonment from the Bear Mountain Mine with the help of Shadow Wolf, the two had to fight their way through the fort during the mission of the same name, "Fort Diego".
The adobe brick fort is rundown, dirty and eroded due to the constant sandstorms from the surrounding desert. There is a gatling gun positioned on the top of the outer wall, facing the inside courtyard of the fort. It has a similar layout to that of Fort Mercer, in Red Dead Redemption.
Sheriff Bartlett's Journal
Fort Diego is listed in Sheriff Bartlett's Journal on pages 322 - 323 under the Frontier Places section. The pages are unlocked by completing the mission "Fort Diego".