This unit was a Missouri cavalry outfit recruited during one of the first raids into Missouri. They were present at Prarie Grove so must have been recruited in mid to late 1862 by Joseph O. Shelby, John T. Coffee, and Upton Hays.
It should consist of 5th, 6th, and 12th Missouri cavalry , Elliot's mounted Battalion and Bledsoe (and\or?)Collins battery(s?).
See the notes at the bottom of this page
Here is the wiki article which looks to have reliable references.
Thank you!