So, during my last trip to the range I looked down and saw a small metal rod for lack of a better term on the bench.  I thought it was strange -- wasn't even sure it was mine.  I talked to the guy at the counter -- he didn't know what it was so I put it in my bag and went home.  Didn't think anything else about it.  

Today, I was back at the range and shot my 938.  I noticed I was less accurate than usual and something seemed off.  But, it functioned just fine -- probably put 50 rounds through it.

I came home to clean it and noticed that I didn't have an entire recoil spring guide.  I thought, damn, that's weird.  I went to my bag, pulled out the piece I "found" and sure enough it was the recoil spring guide.

I googled this and sure enough it is a common problem with the 938 -- the guide rod separates.  It is a threaded piece but it is obviously not supposed to separate.  I call Sig and they are sending me a new recoil spring guide and spring.  No questions asked -- not even my serial number.  It should be here in 10-14 days.  

FWIW, probably 400 rounds through the 938.

Yea, when I pull it apart to clean it I always check that the threads are tight since the recoil rod is two pieces. If it ever is loose put some locktite on it

Not all that unusual with the 938.

The guide rod in my Mar '13 SAS began to loosen up around the same amount of rounds fired.  I tightened it down, but then after another few hundred rounds, the rod loosened up again.  Blue loctite and German torque specs resolved the issue once and for all.

So I hear.  But, I'd still like to know how it ended up on the bench next to me.  Maybe it came out when I was changing mags?  Also, I think it pretty cool that the pistol functions flawlessly even without the guide installed.

Could be, most I have heard of end up 4 feet in front. Great pistol but odd design on the rod.

Why did they design it as a two piece rod? Will a solid one-piece work?

Never found a answer to that although there is a lot of speculation at sig talk. I don't believe there is a already manufactured one piece design that will fit.

Long known issue with the recoil rod, like 4 years or more now. Take the two pieces, clean the threads off with acetone so there is no oil or anything on either of the threads, then run to Lowes and grab some blue Locktite.  Put a little on the threads and tighten it down. That should end the problem.

Even my 1911 Ultra compact had a two piece guide rod, just manufactured in a different configuration.

I will do this.  But, thanks to Sig I'm also getting a free replacement rod and spring.

I'm using a one piece SS rod with no issues.

One piece on a P938? Did SIG redesign or is this aftermarket?

It's aftermarket.  I forgot where I bought it.

ETA:. I'm trying to figure out where I bought it.  I can't find it.  Mine is technically a one-piece stainless steel rod.  But the spring isn't captured.  It came with a new spring and I put the stock stuff in the box as spares.  If and when I figure it out, I will tell you what it is.