Sahih Bukhari Volume 3, Book 29, Hadith Number 85.

Narated By Ibn ‘Abbas : The Prophet said, “A woman should not travel except with a Dhu-Mahram (her husband or a man with whom that woman cannot marry at all according to the Islamic Jurisprudence), and no man may visit her except in the presence of a Dhu-Mahram.” A man got up and said, “O Allah’s Apostle! I intend to go to such and such an army and my wife wants to perform Hajj.” The Prophet said (to him), “Go along with her (to Hajj).”