Sahih Muslim Book 7, Hadith Number 3110.

Chapter : Travelling of a woman with her Mahram for Hajj, etc.

Ibn ‘Abbas (Allah be pleased with them) reported: I heard Allah’s Messenger (may peace be upon him) delivering a sermon and making this observation: “No person should be alone with a woman except when there is a Mahram with her, and the woman should not undertake journey except with a Mahram.” A person stood up and said: Allah’s Messenger, my wife has set out for pilgrimage, whereas I am enlisted to fight in such and such battle, whereupon he said: “You go and perform Hajj with your wife.”