© Oksana Yushko for The Wall Street Journal Theresa and William Reilly.

William and Theresa Reilly were biking on a leafy trail north of Detroit when their son, Billy, sent a text from his trip to Russia. The 28-year-old man had never lived away from home, and the Reillys fretted over his safe return.

Billy Reilly had yet to find a career, but his foreign-language and computer skills led to part-time work in counterterrorism for the Federal Bureau of Investigation in Detroit. He was one of the bureau’s army of confidential sources, and the Reillys didn’t know if his trip was somehow connected.

Over the years, Billy had delved into the Boston Marathon bombers, cultivated alleged Islamic State recruiters, analyzed Syria’s civil war and conversed with Russian-backed separatists fighting in eastern Ukraine. He used online aliases to penetrate terror groups over computers from the family home in Oxford, Mich.

Billy planned to return soon, and his parents were relieved to hear from him. He had told them a vague story about joining a humanitarian mission into eastern Ukraine. Once abroad, Billy leaked alarming bits and pieces, mentions of fighting, drinking and bloody encounters with volunteer soldiers.

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“Big news,” Billy texted. His plans were changing. He wasn’t leaving Russia just yet. Mrs. Reilly was so absorbed she didn’t notice a dog approaching her on the trail. It bit her ankle, she recalled, drawing blood.

Billy sent the text on June 24, 2015. Mr. and Mrs. Reilly called and wrote him texts back over the following hours and the next day. They lost sleep, tethered to their phones, but heard nothing.

A day or two later, a government sedan pulled up to the Reilly home. FBI special agent Tim Reintjes introduced himself. The Reillys had never met him, but they knew from Billy that he was their son’s FBI handler.

“Something happened to Billy,” Mrs. Reilly recalled thinking. “They know about it, and he’s here to tell us.”

Instead, the agent asked if Billy was home. When the Reillys said he was in Russia, Agent Reintjes seemed surprised. He began asking questions, probing for details.

Over the next months, Agent Reintjes returned a half-dozen times. He asked for the laptop and phone the FBI had given Billy. He also wanted to retrieve Billy’s phone bill as soon as it arrived.

Agent Reintjes brought colleagues who assured the couple that the world’s leading investigative agency was on the case. “They’ll find him,” Mrs. Reilly recalled thinking. “We don’t have to worry.”

Then the Reillys found another phone Billy had used. It contained text messages between Billy and a contact named “Tim.” The number matched the one on Agent Reintjes’s emails to Mrs. Reilly.

The parents scrolled through the texts and found a series of perplexing exchanges suggesting the FBI agents knew all along about their son’s trip.

As Billy prepared to leave for Russia, Tim had sent a text in early May 2015.

“Do you have your trip itinerary yet.”

“I’m still waiting on visa,” Billy replied.

Two days before Billy flew to Moscow, Tim arranged a face-to-face meeting and wrote, “Bring your travel info.”

The Reillys couldn’t understand why Agent Reintjes hadn’t told them.

After 9/11, Congress mandated the transformation of the FBI from a domestic law-enforcement agency into a global policing and intelligence body. The number of FBI confidential sources subsequently ballooned, a former senior bureau official said.

The FBI’s counterterrorism work grew to preventing attacks. To help, the agency recruited workers like Billy Reilly, part-timers with the right skills to infiltrate terror or criminal networks, either in person or through online chat rooms and social media.

These sources work in a dangerous world, with little training and fewer of the institutional protections afforded full-time FBI agents. They draw no government benefits beyond an occasional paycheck and a pat on the back. Yet they are critical to the FBI’s work to see plots in the fog of international jihad.

As an FBI source, Billy was required to report foreign travel, even vacations. The bureau has the authority to dispatch sources on foreign missions. It is one of the U.S. agencies responsible for disrupting terror cells abroad.

But over the course of four years, the Reillys would learn that no one in government wanted to take responsibility for their son’s work or for his safety, and that the families of confidential sources have little recourse when the FBI severs ties with their loved ones.

Over time, Agent Reintjes turned curt on the phone and eventually stopped returning calls.

Growing up, the Reilly’s only son wasn’t like other kids. He rarely went to parties and preferred the company of his parents. They now began to fear they might never see him again. They weren’t sure what to do.

Alarmed that Agent Reintjes was hiding information about their son’s disappearance, Mr. Reilly, a retired Teamsters driver for Coca-Cola, and Mrs. Reilly, for years a stay-at-home mom, began a quest to find Billy themselves.

This account is based on dozens of interviews, including with current and former officials of the FBI, State Department and Central Intelligence Agency, as well as the Obama and Trump administrations, officials and militants in Russia and Ukraine, counterterrorism experts, private investigators and Billy Reilly’s friends and family.

The Wall Street Journal also viewed FBI files, Russian and U.S. investigative reports and court records, social media and text messages.

The Journal posed more than 100 questions to the FBI. Brian P. Hale, a spokesman, responded in an email: “The FBI never directed William Reilly to travel overseas to perform any work for the FBI.”

Billy Reilly entered a Catholic high school months before the September 11 terrorist attacks changed the world. Taken by the nation’s patriotic mood, several of his school friends later enlisted in the military. Billy’s curiosity stirred him to study Islam and begin teaching himself Arabic and Russian.

His parents watched as he developed an unconventional view of the world. Billy’s sympathies settled on those he saw as disenfranchised, and he hung the flags of Chechnya and Palestine in his bedroom. He also wandered the radical edges of the internet. “Wherever he was getting his information,” a school friend said, “it was different than the rest of us.”

Billy told friends he had converted to Islam. During Ramadan, he fasted in the school lunchroom. In class, he read the Quran. While it wasn’t clear how serious Billy was about Islam, his younger sister made a firm commitment, converting to the religion and later marrying a Muslim man.

Mr. and Mrs. Reilly struggled to understand their two children. Mr. Reilly had Irish ancestry, and Mrs. Reilly’s family was from Poland. They shared Detroit roots and since 1980 had lived in Oxford, a township of about 22,000.

Billy obtained a bachelor’s degree in biology from Oakland University, a public college in Rochester, Mich. The financial crisis had deepened Michigan’s economic troubles, and he was pessimistic about local job prospects. “Billy always wanted something bigger than our lives,” his sister said.

In the spring of 2010, there was a knock at the door, and a man in a suit introduced himself to the Reillys as an FBI agent and held a printout of the senior Mr. Reilly’s passport. After a raid on an al Qaeda position, the agent said, U.S. forces in the Middle East had recovered a hard drive that contained communications with someone using an IP address at the Reilly house.

Mr. and Mrs. Reilly looked at each other, and then toward Billy’s second-floor bedroom.

Billy, then 23, explained to the agent how he had found his way into restricted jihadist chat rooms. During their conversation, the agent asked Billy if he had any interest in working with the FBI.

The bureau’s Detroit office had roughly 200 agents, and its counterterrorism unit was one of its busiest. Billy, an American of European heritage, who had knowledge of Arabic and could approach potential terror targets online, had great potential value to the FBI.

Billy told his uncle that 80 FBI agents had tried and failed to access a particular jihadist site that Billy penetrated. “They knew the language, but they didn’t understand the culture,” the uncle recalled Billy saying.

The bureau’s confidential sources also weren’t bound by the same legal standards as FBI agents trying to infiltrate terror cells. The special agent in charge of each FBI field office had the authority to pay sources as much as six figures a year, but few neared that kind of pay.

Billy sat for interviews at an office in Troy, Mich. The process was designed to reveal his character, including mental stability, temperament, loyalties, vices, emotional ties and feelings about his country. After the tests, Billy eased into a role in counterterrorism.

Billy told his parents that Agent Reintjes was his handler. The agent was dark-haired with a tall, athletic frame. He had excelled in sports at a Catholic all-boys school in Kansas City, Mo., and later received degrees in economics and criminal justice from Villanova University.

Billy was nearly the opposite—5-foot-7, 160 pounds, his features rounded by a diet of snacks and fast food. His scruffy brown beard offset a receding hairline; rectangular metal-frame glasses gave him a bookish look.

His payment name, used to sign pay slips covertly, was Falcon.

FBI documents advised agents to use “natural actions” when cultivating a source to create a “seemingly personal relationship.” It said an agent’s understanding of a source’s motivations was useful to “inspire an individual to do something that they may not otherwise do.”

The FBI’s Confidential Human Sources Policy Guide warned that a source’s “misconduct will reflect on the FBI. Fairly or unfairly, the FBI will be viewed in the light of that reflection.” Agents were schooled to cut off contact when sources behaved in ways detrimental to the agency.

From the family home, Billy set to work, snooping in digital networks and social-media groups, exploring places where terror connections formed. He monitored Islamic fundamentalist sites and filed translations to Agent Reintjes via Dropbox and email. He passed on the names of Americans who joined jihad groups.

The work gave structure and meaning to Billy’s interests and made him feel important. The Reillys were relieved to see their son find a calling with an organization they respected.

Billy’s value to the FBI soared when the Arab Spring began unfolding at the end of 2010. In Syria, as an unpredictable uprising took root months later, Billy tried to see through the confusion. His FBI reports often read as though they were prepared for the CIA, including analyses about an emerging group of fighters that became known as Islamic State.

“I think that after IS consolidates their control of Raqqa, Deir Zowr, East Aleppo,” he wrote of the militant group’s spread in Syria. “…their target will be the Homs area.” He turned out to be correct.

Billy created undercover identities on Facebook, Kik, Nimbuzz, Skype, Twitter and VKontakte, a Russian social-networking site. Billy took first names—Bilal for the Arabic world, Vasily for the Russians—that weren’t so different from his own.

He kept to covers he could fake: a Russian raised in the U.S., a convert to Islam seeking interpretation of the Quran. He used virtual private networks and air cards to mask his location.

Agent Reintjes regularly invited Billy to meetings with agents at restaurants around the suburban Detroit area, Panera Bread and Tim Hortons. Billy took on a bigger role yet earned little, and he pressed for a full-time job. Agent Reintjes and his colleagues encouraged him, hinting a job might be in the cards.

“That really kept him going,” Mr. Reilly said.

The Reillys recalled Billy voicing doubts about his work in 2013, after he played a role in an undercover case targeting an Iraqi émigré. The FBI identified people with suspected jihadist sympathies who traveled to the Middle East. Aws Naser, of Westland, Mich., fit the profile.

Mr. Naser believed the FBI was already watching him when Billy reached out to meet in person. Billy had said his name was Mikhail, and that he wanted to learn about Islam. Mr. Naser recorded a video when he met Billy and planned to expose “Mikhail” as an undercover agent.

“I wanted to see how they entrap people, so they can never do it again to innocent people,” said Mr. Naser. Years earlier, he said, he had worked as an interpreter for the U.S. Marines in Iraq.

Mr. Naser was arrested before he could post the video of Billy on YouTube. FBI agents stood in the driveway as police led him from his home on Jan. 4, 2013, Mr. Naser said in an interview. He was accused of stealing $180 from a cash register at a former workplace and squirting pepper spray at a cashier.

Mr. Naser, who had previously pleaded guilty to disorderly conduct, said he was owed the money in back pay.

FBI agents were in court when a judge set Mr. Naser’s bond at $2 million. He was later convicted of felony armed robbery and sentenced to a prison term of three to 20 years.

Billy told his parents that his FBI contacts gloated about the case. “You should’ve been in court,” he recalled an agent saying. “It was so funny.”

Although Mr. Naser’s sentence matched Michigan’s recommended guidelines, Billy told his parents he couldn’t understand why the agents tried so hard to influence the case.

For the first time, Billy aired doubts to his parents about what he was doing.

On July 17, 2014, Agent Reintjes texted Billy: “Can you look into this group…People’s Republic of Donetsk.”

Earlier that day, a Malaysia Airlines plane flying from Amsterdam to Kuala Lumpur was shot down over Ukraine, near the city of Donetsk, killing all 298 people aboard. The governments of Russia and Ukraine blamed one another.

War had been raging in eastern Ukraine after Russia seized the Crimean peninsula. The conflict engulfed Donetsk and the larger region of Donbas, a territory along the Ukraine-Russia border.

Russian tanks and soldiers were reported crossing the border and joining the fray against the Ukrainian military. Paramilitary groups coalesced on both sides. Militants seized police and military armories. Looting, arson and the destruction of roads and other infrastructure were widespread.

The minister of defense for the so-called Donetsk People’s Republic was Igor Girkin. His paramilitary unit had captured state buildings in eastern Ukraine during the spring of 2014, igniting the fight. He claimed to be a member of Russian military intelligence, known as G.U., and had taken the name Igor Strelkov.

Billy prepared a translation of a post from Mr. Strelkov’s VKontakte account after the Malaysia Airlines attack. The translation read, in part: “We warn you that there will be no flying through our skies. Here is a confirmation of the plane being shot down.”

Shortly after, the post was deleted. A Dutch inquest later blamed Russia, which Moscow denied. International prosecutors eventually indicted Mr. Strelkov and three others on suspicion of murder.

Billy discovered his own link to the war after his maternal grandfather died a few months later. He researched the family history using genealogy sites and was surprised to learn his great-grandfather was from Donbas.

Billy had a close bond with this family, yet he was restless after four years working alone at a computer. He confided to his brother-in-law that he wanted to get married and build his own life. He began meeting women online. In 2014, one caught his eye.

Amera Lomangcolob lived in the Philippines. Billy called her by a nickname, Amz. She called him Bilal. Billy’s communications with Ms. Lomangcolob alternated between operational and romantic. She said she planned to sneak into Syria. Billy obtained a visa for neighboring Turkey.

During the time Billy communicated with Ms. Lomangcolob, he turned over much of the correspondence to Agent Reintjes. The agent eventually told Billy to “leave AMZ alone.” Billy persisted. He wired her money and researched how to obtain a U.S. fiancée visa.

In December, Billy sent a text to his FBI handler that said he was leaving on a trip. “My parents got me a Christmas present of a se Asian tour,” Billy wrote Agent Reintjes. “I don’t know if I am excited or not about it lol.”

Billy had booked a trip to the Philippines, where Ms. Lomangcolob lived.

The Reillys dropped Billy at Detroit Metropolitan Airport, and as they drove back on Interstate 94, Billy called to ask them to pick him up. It was never clear why. On the way home, he told his parents the FBI had nixed his trip. In a text, Billy told Agent Reintjes he himself had canceled, saying it was “too much trouble to go alone.”

Billy’s mood darkened afterward. One night at home, he showed his parents the photo on his new gun license and said, “You’re going to see this on TV one day.” He told his mother the CIA often sent people on missions incommunicado.

Billy showed his sister a printout of an email he said was in Russian. He said it concerned the Federal Security Service, Russia’s main domestic intelligence agency known as the FSB.

“It was something related with the FSB being interested in him going there,” she recalled. “He was pretty excited about it.”

Billy’s sister said she jokingly asked her brother if he planned to become a double agent. Billy shrugged.

After Billy’s disappearance, a Journal examination of his texts, computer files and social-media traffic revealed conflicting impulses.

News reports of Ukrainian shells tearing through villages in the Donbas region stirred Billy’s sympathies toward the Russian-backed separatists. Yet in a Twitter chat, using the alias Abu Russi, Billy hinted to a contact that he was traveling to Ukraine to support an Islamic State-affiliated Chechen Muslim group fighting Russia.

In the winter of 2015, Billy told his parents he was going to Russia. He mentioned work with humanitarian convoys that rolled through Rostov-on-Don, a staging point for the war across the border in eastern Ukraine. Trucks ferried food, clothes, and medical supplies to civilian victims of the conflict. The convoys also allegedly smuggled weapons.

Billy was excited. His parents found his plan half-baked. “As much as we tried,” Mrs. Reilly said, “we could not talk him out of it.”

As the Reillys later learned, Billy discussed the trip with Agent Reintjes. The evening after their final meeting, Agent Reintjes texted Billy: “Whatsapp, skype, viber?” Billy replied, “Once I load the apps, I’ll msg u the info.”

The FBI’s Confidential Human Source Policy Guide said a handler must give “an emergency communication plan” to a source traveling abroad.

Billy’s computer showed he had already downloaded a Russian-language document titled “Volunteer Profile.” It asked about combat experience.

On the day of Billy’s departure, he shook hands goodbye with his uncle, Jim O’Kray. Billy’s hand trembled, Mr. O’Kray said. “There was something that was really scaring him about getting on that plane.”

After years witnessing conflicts online, Billy took himself to the edge of war.

Billy Reilly landed in Moscow on May 15, 2015, and that evening he walked into Kursky train station.

He entered a cafe wearing black sneakers, jeans and a gray T-shirt under a black fleece pullover. He rolled a black suitcase to a table where Mikhail Polynkov sat.

Mr. Polynkov was a recruiter for Igor Strelkov, who by then was no longer a minister of the Donetsk People’s Republic but still active in Ukraine’s war. Mr. Polynkov funneled volunteers to a Strelkov-sponsored camp in Rostov-on-Don, about 45 miles from the Russian border with Ukraine.

From the Rostov camp, Mr. Polynkov and others helped volunteers cross the border to join separatist units fighting Ukraine forces.

Elena Gorbacheva, a Russian photojournalist, accompanied Mr. Polynkov to the train-station cafe. He had asked Ms. Gorbacheva for help because he didn’t know what to do with the American arrival, she recalled.

They welcomed Billy to their table. They knew him as Vasily, the name on the VKontakte account Billy had used to communicate with Mr. Polynkov.

Mr. Polynkov sized up his new recruit as a traveler, not a fighter. In his experience, soldiers of fortune didn’t travel with wheeled oversize suitcases. He tried to dissuade Billy from going to Rostov and asked Billy if his parents knew of his plans. Billy said they did.

A voice crackled over the station loudspeakers to announce that the train to Rostov was boarding. Ms. Gorbacheva and Mr. Polynkov escorted Billy to the platform, dodging passengers and baggage handlers.

Beside the train, Ms. Gorbacheva snapped photos of Billy, his destination visible on a placard behind him. Then Billy stepped aboard.

The train passed rickety clapboard houses. Middle-aged women sold cranberries at roadside stands. Stray dogs curled up to nap in the dust.

Texting his mother, Billy would later say he was surprised at how poor Russia appeared. Mr. and Mrs. Reilly, apprehensive about Billy’s travels, hung on every word in his texts and phone calls.

He reached Rostov about 17 hours after leaving Moscow. The Russian city had become a destination for FSB agents and all manner of thugs and adventurers, drawn by the war across the border in Donbas.

Billy arrived at the Strelkov camp in Rostov and, two days later, he left on a northbound train. He visited Saratov, a port city on the Volga River. In a text to his mother, he said he was “going on tour of russia with them.” Billy didn’t identify his companions. He also visited Volgograd.

From the city of Ulyanovsk, Vladimir Lenin’s birthplace, Billy texted his mother that it would be “interesting to meet with that russian biologist.” It was a reference to a man he told his parents he had met through Agent Reintjes at a dinner that year in Auburn Hills, Mich.

The next day, Mrs. Reilly asked if Billy had seen the man. “Not yet,” Billy replied. “He teaching at another school. And when i get to that city.” Billy didn’t complete the thought.

At one point on his trip, Billy made plans to see Ms. Lomangcolob in Bangkok, but he never went.

In late May 2015, Billy returned to the Strelkov camp. On June 5, he sent his parents a photo of himself with a shaved head. He told his mother in a text about his craving for adventure. His mother replied: “No adventure [if] your throats slashed. Please reconsider. This really scares me.”

“If I leave now this whole trip would just be a bad memory,” Billy wrote.

Later, he spoke again of a humanitarian convoy and taking a bus trip to “some town closer to the border.”

On June 19, Billy wrote, “Waiting. Everything moves slow.” The next day, he messaged, “I really want to go now. Soooo bad.”

Billy finally said he was ready to give up and go home.

Five days later, he reached his parents on the bike trail and told them about his change of plans. Then he went silent.

After finding Billy’s phone and spooling through his messages with Tim, the Reillys couldn’t understand why Agent Reintjes had kept quiet about the Russia trip. They believed the FBI owed them answers.

Agent Reintjes, on his first visit to the Reilly house, had asked a question that further confused them: “What side is Billy on?”

If the FBI knew, the bureau didn’t share it. Looking back, the Reillys suspected the agents who took Billy’s phone and laptop weren’t searching for clues—they were trying to hide them.

Yet Agent Reintjes and his colleagues had overlooked not only Billy’s second phone, but also a laptop and the Reillys’ desktop computer. Stored on these devices were more than a thousand files connected to Billy’s work.

When the Reillys flicked on the desktop computer, it was still logged into Billy’s account on VKontakte, the Russian networking site. They saw a record of his chats with Mr. Polynkov, the Strelkov recruiter he met at the train station. Their mood lifted. Here was someone who might help them.

Mr. Reilly sent a Facebook friend request. To his surprise, Mr. Polynkov accepted. On Aug. 17, 2015, they began corresponding.

Mr. Reilly asked about Billy. “He is definitely safe,” Mr. Polynkov wrote.

Later, Mr. Polynkov said, “One thing I know for sure is that he’s unharmed.”

The Reillys were overjoyed. Weeks later, Mr. Polynkov sent a text saying, “They told me that they sent him home.”

The Reillys panicked, unsure what this meant. Mr. Reilly felt Mr. Polynkov was hiding something, and he asked for Billy’s location.

“I advise you to find out through the CIA,” Mr. Polynkov said by text.

“Please we are his parents,” Mr. Reilly wrote. “Please, please help us.”

“Of course, he is alive,” Mr. Polynkov responded.

“Do you have any idea where? Who was he with?”

“In the FSB.”

“Can he call us?”

“No,” Mr. Polynkov said. He never wrote them again.

The Reillys read and reread Mr. Polynkov’s messages, desperate to decrypt some meaning. They found Mr. Polynkov’s account on LiveJournal, a Russian blogging site, where a photo caught their attention. It showed a hand holding a U.S. passport with a train ticket slipped inside. Mrs. Reilly said she recognized her son’s fingers.

Above the photo, Mr. Polynkov had written, “Not all Americans are equally useful to Ukraine.”

The Reillys scrutinized the photos Billy had sent from his travels: a bridge being built over a river; a residential tower with a large clock. They wondered where they had been shot and whether Billy might still be there.

Billy’s final phone bill arrived, and it listed several Russian numbers. With the help of an interpreter, the Reillys called each one. A man answering one call said he was Bronya Kalmyk, a name that corresponded with a contact on Billy’s VKontakte account.

The man’s true name was Sanal Victorov, and he was fighting against Ukraine forces. When the interpreter asked about Billy, Mr. Victorov answered without hesitation. “He’s 300,” he said, code for a wounded soldier. Then he backtracked, saying Billy was unharmed.

On Billy’s phone, the Reillys discovered he had been chatting with an Indonesian woman he met on a Muslim dating site. When they reached the woman, she said Billy had been in contact from Russia.

On the day he vanished, the woman told the Journal, Billy had sent two photos. One showed a laceration on his hand. In the other photo, he had cuts and scrapes on his left shin, splashed with iodine. Billy mentioned a motorcycle accident.

After exhausting the numbers on Billy’s phone bill, the Reillys widened their search.

Matt Steele, an official at the State Department’s Bureau of Consular Affairs, which assists U.S. citizens abroad, sounded like he wanted to help.

Later, after Mr. Steele told them he had contacted the FBI, the Reillys said his enthusiasm waned. Mr. Steele declined to comment.

An official at the U.S. Embassy in Moscow told the Reillys he wasn’t involved in the case and didn’t know who was.

The parents tried Capitol Hill, petitioning their two Democratic senators, Gary Peters and Debbie Stabenow, as well as Mike Bishop, at the time their Republican congressman. The Reillys said staffers for all three lawmakers seemed to lose enthusiasm after learning of Billy’s FBI connection.

“We couldn’t get any information,” Mr. Bishop said. Spokeswomen from Mr. Peters’s and Ms. Stabenow’s offices declined to comment.

An official at the Russian embassy in Washington, D.C., told the Reillys he had no information; neither did the Russian Ministry of Foreign Affairs in Moscow. The Red Cross offices in Washington, Moscow and Kyiv declined to help.

In September 2015, the Reillys found a Moscow private detective online and hired him. The detective spoke with Mr. Polynkov, who said Billy was in FSB custody, but he came up empty-handed.

The following spring, after Billy had been missing for nearly a year, the U.S. government’s indifference overwhelmed the Reillys. “We were mad,” Mrs. Reilly said, “so angry at these people for doing nothing.”

The Reillys tried a letter to Russian President Vladimir Putin. They didn’t get a reply. After the November 2016 election, they wrote to President-elect Trump. Maybe his victory would offer them a new path.

With that hope in mind, the Reillys headed east.

The Reillys intercepted Anthony Scaramucci as he hurried across the plaza of the News Corporation building on 6th Avenue in Midtown Manhattan. It was January 2017, and Mr. Scaramucci was assisting Mr. Trump’s transition to the White House. He was going in the building to appear on Fox News.

The parents were dressed in white T-shirts with red lettering. Each shirt carried a different message: “SON MISSING IN RUSSIA,” and “Mr Trump HELP US.” They were standing outside the street-level studio windows of the Fox News TV program, “Fox & Friends.” They hoped TV cameras would spot them and draw attention to their son’s disappearance.

“On a scale of one to 10, the mother was a 25,” Mr. Scaramucci later said. “There was a suggestion the kid had gone AWOL inside Russia.”

Mr. Scaramucci had a meeting scheduled later that day at Trump Tower with Michael Flynn, who would be named Mr. Trump’s national security adviser. Mr. Scaramucci promised the Reillys he would raise the case.

Nothing came of it, and the parents forged ahead on their own.

Six months later, in July 2017, they boarded a plane at Detroit Metropolitan Airport and, as Billy had done before them, flew to Moscow.

Arriving in Russia’s capital, the Reillys had a single goal, Mrs. Reilly said, “to get the police to start an investigation.”

In Rostov, the Reillys visited a branch of the Investigative Committee of the Russian Federation. The federal investigators showed little enthusiasm. Yet with urging from an interpreter, they agreed to open a missing-persons case.

The Reillys scoured the city for clues. They reached the bank of the Don River, which coursed through town. They walked along the strand, looking at a photo on Mr. Reilly’s phone that Billy had sent by text.

They soon spotted landmarks. There was the bridge from Billy’s picture, the Voroshilovskiy Bridge. Reconstruction was nearly finished. Across the river stood the residential tower with its large clock.

The Reillys stood where it appeared Billy had taken the shots. Nearby were a few tumbledown buildings. A single-story structure looked occupied: wash over a railing; boots sat against a wall, drying. Men loitered along the beach, drinking beer and glaring at the Reillys.

Mr. and Mrs. Reilly had found the Strelkov camp. They thought about approaching a man to ask questions. Their interpreter, concerned for their safety, whisked them way, and the Reillys headed home.

In June 2018, the Moscow private detective the Reillys hired said Billy’s name appeared in Russia’s Interior Ministry database. Then the detective quit, saying a government source had threatened to revoke his license.

Elena Gorbacheva, the photojournalist, said in an interview that she had phoned Mr. Polynkov months after they met Billy at the cafe.

“You know what?” Ms. Gorbacheva recalled Mr. Polynkov saying. “He’s disappeared.” Mr. Polynkov declined to comment.

In July 2018, after Billy had been gone three years, Mr. and Mrs. Reilly made an unannounced visit to the Patrick V. McNamara Federal Building in Detroit.

Mrs. Reilly wore a plain blouse and glasses, her steel-gray hair cut shoulder-length. Mr. Reilly’s graying hair sprouted in wisps that he gathered in a ponytail. He wore a T-shirt and jeans.

The Reillys spied the framed photos of FBI agents in jackets and ties as they passed into the waiting room. The woman behind the bulletproof glass asked why they wanted to see Agent Tim Reintjes. It had been a year since they had spoken with him.

“He knows us,” Mrs. Reilly said.

The woman left and in a few moments returned. “He has nothing to say to you,” she said.

“We have things to say to him,” Mrs. Reilly said.

The receptionist waved them off. “He doesn’t want to hear what you have to say,” she said.

On the ride back to Oxford, Mrs. Reilly broke down.

“He didn’t even have the decency to come out and talk to us,” she said.

The Fireplace snack bar is a five-hour drive north of Rostov, off the highway to Moscow. Sanal Victorov, chief of the Strelkov camp in Rostov, sat at a picnic table in the cafe’s small courtyard.

He wore camouflage pants and a jacket with stars pinned to the shoulder boards. The name Bronya, the nom de guerre he had used in his brief phone call with the Reillys years before, was stitched on his jacket. He looked at a photo of Billy and jabbed a finger. “That’s Vasily,” he said.

Billy had bought a camera in Rostov and took photos at the Strelkov camp, Mr. Victorov said in the July 2018 interview: “He told me that he didn’t want to fight. He said he wanted to take pictures.”

Men at the camp forced Billy to pay their liquor tabs. “He was naive,” Mr. Victorov said. Billy’s credit cards registered more than $2,700 in fraudulent purchases and cash advances in Russia before he disappeared.

Billy wanted to cross the border into Ukraine, Mr. Victorov said, but he didn’t want the visit recorded on his passport, fearing trouble when he returned to the U.S.

Mr. Victorov told Billy he could try a so-called black corridor, one of several clandestine border crossings that separatists periodically operated. “We had to wait for it,” Mr. Victorov said, Billy along with a few other foreigners.

Before the men crossed, Mr. Victorov told them to leave behind the SIM cards from their phones because the Ukrainian military tracked the signals to pinpoint battlefield positions. Mr. Victorov said he gave Billy a helmet, flak jacket, shoulder holster and camouflage fatigues.

Mr. Victorov’s account, if true, helped make sense of Billy’s texts to his parents—the waiting, the frustration and then his excitement. It also could explain why, without a working phone, he went silent.

When passage through the black corridor opened, Mr. Victorov said, “I put them in the red van, the one Strelkov gave us. They went across the border.”

There is no record of Billy exiting Russia, according to the Rostov Investigative Committee, which had opened its missing-persons inquiry. Sergei Shvetsov, one of the investigators, shared Billy’s file with the Journal. It appeared to corroborate Mr. Victorov’s account.

The file had GPS data from Billy’s cellphone showing that it continued to transmit from Rostov until July 3, 2015, nine days after his parents had lost contact with him. There also was an interview with a man who said he had met Billy in the town of Daryevka, Ukraine.

Alexander Ganus, the investigator who did most of the research on Billy’s case, no longer worked for the Investigative Committee. The Reillys reached him by phone and email. He offered his private services for $25,000, the couple said. They declined.

Last fall, the FBI finally called again. Tim Waters, who headed the Detroit office’s national security program, wanted to talk. He asked the Reillys if they knew about inquiries about Billy from the Journal.

In a later call, Agent Waters said Billy had gone to Russia “to tour the countryside.” Mr. Reilly asked why Agent Reintjes’s came to their house so soon after he disappeared.

Agent Waters stuttered in a recording of the call.

“Did you? Did you all…? Well…. It was…. It was…. It was not, um…. I’ll.... Let me get back with Tim and get some further details.”

The Reillys were invited to a meeting at the FBI’s Detroit office. Agent Reintjes was there but said little. Suspicious of the agents’ intentions, the Reillys didn’t mention the additional electronics Billy had left behind or the many clues they held, including the text exchanges with “Tim.”

“Billy was doing work for us,” Agent Waters said, according to the Reillys. “He was extremely helpful to our country.” He said the Russia trip wasn’t related to his work for the bureau.

In a subsequent meeting, Agent Reintjes said it was a coincidence that he had come to the Reillys’ house shortly after Billy disappeared. He told the parents he was checking up on Billy because he, too, hadn’t heard from him.

Agent Waters again raised the prospect of a Journal article, cautioning against any publicity about Billy’s ties to the FBI. “He could be killed,” he said.

But Agent Waters said he did, in fact, know more about Billy’s trip, that Billy had planned to visit Kyiv to see a great-grandfather named Joe. After that, Billy was to meet his parents in Poland, to see his Aunt Kathie.

The Reillys had no relatives in those places and no plans to visit Poland.

Mr. Reilly told the agents about their meeting with investigators in Rostov.

Agent Waters looked at him blankly. “Where’s that?” he asked.

“In Russia,” the Reillys said.

“Oh, right,” the agent said. “Of course.”

In a later conversation, Agent Waters said that FBI brass in Washington had taken an interest in the case. The special agent in charge of the FBI’s Detroit office during Billy’s Russia trip, Paul Abbate, had been promoted to associate deputy director, the FBI’s third-highest-ranking job.

Agent Waters asked the Reillys to persuade the Journal not to print anything about the FBI. He suggested the parents meet with Timothy R. Slater, at the time Detroit’s special agent in charge. When Agent Waters failed to schedule the meeting, the Reillys were relieved.

“The whole thing was a clinic in how to cover your butt,” Mr. Reilly said.

Last fall, the Journal contacted Valery Prikhodko, head of the Center for Assistance to the State in Countering Extremist Activities. The group, based in the Rostov region, helped Russian authorities in such tasks as capturing fugitives hiding in the chaos of the war in Donbas, he said.

Mr. Prikhodko asked if there were fingerprints, and, by chance, there were. Billy had provided prints when he applied for his gun license. The state of Michigan made them available, and the Journal sent them to Mr. Prikhodko.

At 6:33 a.m. on Nov. 21, the Journal received a message over WhatsApp, the encrypted messaging service. It was a single word, in Russian: “found.”

An email from Mr. Prikhodko followed: “We found Reilly. Unfortunately, he has been killed.”

He shared a document that said the body had been recovered outside the Ukrainian village of Dibrivka, near the Russian border, on July 10, 2015. That was 16 days after Billy’s final text to his parents.

The remains were buried in Shakhtarsk, 36 miles from Dibrivka on the road to Donetsk.

A death certificate from the chief medical examiner’s office for the district of Shakhtarsk was dated July 11, 2015. It referred to a male aged 30 to 35 years old, recovered a day earlier from a reservoir on the outskirts of Dibrivka.

The cause of death was listed as “assault with intent of murder or injury.” The death certificate described “penetrating stab wounds to the chest bones.”

After more than three years, the Reillys’ search was over.

In December, the Reillys phoned the FBI’s Detroit office. A receptionist transferred them to Agent Waters. The call went to voice mail, and Mrs. Reilly asked the agent to return her call.

Moments later, Agent Waters phoned. He asked what happened. “You murdered our son,” Mrs. Reilly yelled. “Don’t ever talk to us again.”

On a cold Michigan day in January, the Reillys looked at cemetery plots in the Detroit area. “They’re definitely not the same people as they were before,” their daughter said. “It’s hard even to remember how things used to be.”

In April, Mr. and Mrs. Reilly returned to Russia to recover their son’s remains. From Rostov, they crossed the border into Donbas by public bus.

On May 7, they arrived in Shakhtarsk. At a cemetery on the edge of town, Mr. and Mrs. Reilly joined gravediggers gathered by a mound of dirt. “Unknown Man” was etched on a cross that marked the spot. Mrs. Reilly knelt beside the grave. “We’re here to bring you home,” she said in a whisper.

The diggers exhumed a wooden coffin. As they lifted the box, it fell apart in their hands, spilling a black plastic bag. Mr. Reilly tried to “balance complete despair and complete rage,” he said.

Mr. and Mrs. Reilly returned to Russia and commissioned a DNA test that confirmed the remains had been their son. At Rostov’s Northern Cemetery, a man soldered shut a metal box that encased Billy’s remains for shipment.

The Reillys visited a Rostov tattoo parlor, where they had “Billy” and an infinity loop scripted on the palm side of their right wrists.

On June 14, nearly four years to the day they lost contact with Billy, the Reillys landed in Detroit with their son’s remains in the plane’s cargo hold.

“I remember dropping him off here four years ago and saying goodbye,” Mrs. Reilly said as she disembarked. “And how many times he told me, ‘Don’t worry.’”

At an airport cargo hangar, joined by their daughter and relatives, Mr. and Mrs. Reilly caught sight of the casket being loaded into a black Chrysler minivan. Billy’s sister cried out in grief, pregnant with a son she promised to name Bilal, for her brother.

Mr. and Mrs. Reilly watched an undertaker ease the van toward I-94, ferrying Billy his last miles home.

Write to Brett Forrest at brett.forrest@wsj.com