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In the Pilot episode of Gotham we see that Gordon is a war hero. Also, at the end of the episode, Harvey said that Gordon has killed people before, in the war.
What war was that? I didn't find anything on Gordon's Wikipedia page.
Is this something new for the Show, or has it been mentioned on the comics?
No -- it is unlikely they will define which war it was. See this question and answer: What time period is Gotham set in?
The aesthetic of this show is that there specifically is no time period.
Calling it just "The War" was certainly intentional.
In season 3 episode 7 “The Red Queen” during Jim’s hallucination/flashback, he is carrying an M16A1 (US Army standard issue during the Vietnam War) and he is also wearing what looks to be a Vietnam War era Flak Vest. I think it’s probably safe to say that the war he fought in is fictional but heavily based off Vietnam.
However, when Captain Barnes is speaking to Jim about Barnes’ time in military service, Barnes mentions him and his squad capturing ‘insurgents’ and being caught in a ‘sandstorm’, both words that you would not associate with the Vietnam War as ( I could be wrong about this) there aren’t any deserts to cause sandstorms in Vietnam, and the enemy were not referred to as insurgents ( they were called NVA or Charlie by American troops).
The Iraq War would make more sense judging by what Barnes says, and the fact that the Gotham timeline is not the same as our real world one would also allow for a fictional war in which Jim could have fought in Vietnam (or a Vietnam like setting) and Barnes to have fought in the Iraq war or similar setting. (Another fact backing this theory is that the M16A1 that Jim carries in his Vietnam flashback was also used during the Iraq War, albeit in much lower numbers than Vietnam).
TL;DR: We don't know specifically what war the Gotham-continuity Gordon fought in, but the trope of Gordon being a war hero and/or ex-military has been around since at least the 80's.
We don't know. Gordon's past hasn't been discussed much in the show so far. In fact, the dialogue you're referring to is probably this conversation from the pilot:
JIM: She said you had to keep me, huh?
HARVEY: Yeah, she did. She said you were a war hero and your daddy was a big shot D.A. back in the olden days, so I have to keep my trap shut and do as I'm told.
JIM: Ouch.
HARVEY: Listen, kid, you got juice; do me a favor. Ask for a transfer.
JIM: Sorry, this is where the action is. You'll get used to me.
Given that Gotham isn't assigned to any particular time period, the writers have probably decided to leave such references vague. After all, mentioning a specific conflict would tie the show down time-wise, which is something they're trying to avoid. However, given that the show appears to be a blend of vehicles, technology, & culture from within the past 30 years, we can speculate that "the war" is referring to either Vietnam or one of the numerous conflicts in the Middle East.
Actually, the idea of Jim Gordon being ex-military has been around for quite some time - it's just not a major trait of the character. Here are some examples:
This was also alluded to in the 2012 film "The Dark Knight Rises", during an exchange that takes place when Gordon leaves the room:
Foley: You should spend some more time with the Mayor.
Gordon: Well, that's your department. [walks off]
Congressman: Anyone shown him the crime stats?
Foley: He goes by his gut and it continues to bother him, no matter what the numbers.
Congressman: Must be popular with his wife.
Foley: Not really. She took the kids and left for Cleveland.
Congressman: Well, he'll have plenty of time for visits. The Mayor's gonna dump him in the spring.
Foley: Really?
Congressman: Mm-hmm.
Foley: But he's a hero...
Congressman: A WAR hero. This is peace-time.
Although some of this could be referring to the "war" against crime, much of it comes together to paint the picture of a military veteran.
As far as I know, the show did not say anything specifically that would let us pin down what year it was, including the specific war that James Gordon fought in. However, we can make some educated guesses based on things we saw.
Probably the most obvious bit of information we have are the phones everyone was using. It appears that, at the time the show is set in, that small flip-style mobile phones are in common use, but smart phones are still not available. The iPhone came out in 2007, and within a year or two were widely deployed, so my guess is that the show is set some time prior to 2007. Rather, flip-style cell phones (e.g. the one that Fish's goons carry) seem to be popular, which would place the show sometime in the early 2000s, possibly very late 1990s.
With that in mind, the most likely answer is that James Gordon fought in the Iraq War in 2003, and the show is set sometime between 2003 and 2007.
(BTW: This estimate makes it unlikely that the show can be viewed as a prequel to any f the existing Batman comics or movies; for example, assuming Bruce Wayne was in his early 20s in Batman Begins*, he would have been 8 around 1990 -- ten years too early to match Gotham.)
The Rolls Royce Phantom came out in 2003 which is the same vehicle Bruce Wayne uses. Ben McKenzie (Gordon) is 36 years old. David Mazouz is 14 years old. Christian Bale was 31 when batman begins came out. Gary Oldman was 47.
Enlistment age is 18 and training would take about a year, meaning the youngest he could have been is 19 (lets just round it to 20). So he could have served for about 10 years (accounting for 6 years to go from academy to detective)
As the show doesn't have widespread use of smartphones we can assume that show starts before 2010 so he could have been a soldier from 1987 to 2004 (upper and lower bounds)
If we go by our timeline then he could have fought in:
Afghanistan (7th October 2001 – present)
Kosovo (28th February 1998 – 11th June 1999)
Bosnia (6th April 1992 – 14th December 1995)
Battle of Mogadishu (1993)
Gulf war (2nd August 1990 – 28th February 1991)
Given the way they talk about it, the most likely (imo) is the battle of Mogadishu, and even at the latest point he could start to serve he could would have been able to fight in it. The movie Black Hawk Down came out in 2001 making him somewhat famous.
However, the DC universe is not the same as ours and the war could have been anything if they have an alternative universe to ours. This would also explain the the use of cars from different time periods and the abnormalities. Also the difference between the Nolan Batman age and Gotham is 17 for Bruce Wayne and 11 for Gordon. So it could be a sign that its a completely different universe as compared to the Nolan universe which is very similar to our own.
Maybe Jim Gordon fought in the fictional countries which exist in the DC universe. He could have fought in Qurac, Bialya or Kahndaq; these are the only desert-based countries that I know of so far in the DC mythos.
Bialya: former dictatorship to a constitutional monarchy, where the government wants to expand their territory by invading sovereign nations and instigating conflict in the neighboring country. This country is based on its real-life counterpart, Libya.
Qurac: once part of Bialya, it won its independence during the bloody civil war.
Kahndaq: Egyptian-based nation, home to Black Adam and now ruled by warlords. Probably located on the border between Egypt and Sudan.
Or maybe Gordon fought in Eastern European countries, such as Markovia and Vlatava. When Gordon was poisoned by Scarecrow's fear toxin, he was hallucinating a warzone where Penguin as a soldier spoke a European dialect. This could be an alternative for the Yugoslavia Wars, or counter revolutions against a Communist government; this might been behind the Iron Curtain.
