Should I report National Guard hiring discrimination?

Let me guess, Wells Fargo?

The best tactic is to call them out during the interview, explain the law to them and how they are in material breach of that law, then walk out of the interview because that place would be a horrible place of employment. Then go find a better job! Sadly USERRA offers little assistance and will consume more time with only a slight chance of any benefits at all.

You can, and probably should. When my son as a Reservist was hassled at work by them referring to his Drill as "Boy Scout Camp," was one thing; but when he went to WLC, they REALLY started their crap. Then, he was tasked to drive a tractor trailer with water buffalos to Andrews AFB for their annual Air Show and was gone a week. During that, he was asked to go to Carlisle Army Depot (with two other trucks) and haul fuel to a Naval Air Station; THEN to haul equipment to Manhattan in NY - all with copies of his orders faxed/mailed to his employer.
When he got back, they fired him. He filed with USERRA, but it was a lengthy, DETAILED and DOCUMENTED series of events. Emphasis: DOCUMENTATION. It will be hard to document a phone conversation, so keep that in mind. Eventually, my son won a settlement that they offered so they wouldn't have to proceed to court.
If you file, the only reason I see to do so is to document that bank's issues so the next person may have an easier time of proving things. However, the bank, or that particular person, will have learned to NOT make such a careless (stupid) remark like that again.
Reading USERRA, and ESGR, both seem to apply to actual EMPLOYEES and not applicants however. You'll have to contact one and/or the other to find out for sure. If not, then EEO is your only avenue.

Not an attorney disclaimer, but reporting is up to you, and would you really want to work for them? Without damages to you it's just a bureaucratic paper shuffle. They have deep pockets, and other than some bad PR they stand to lose little. A recording of what you allege would help, but only if the State is a "one party consent" state. Still, no remedy other than a slap on the wrist. https://www.dmlp.org/legal-guide/recording-phone-calls-and-conversations

good luck with it, this is an age old problem further complicated with hiring vets with the belief that we all have PTSD. I wish you well, but I personally wouldnt want to work for a company that does not support your sacrifices.

I've been through that, and it would be hard to prove. I was told that by a full bird Col.

Like others have said..http://www.esgr.mil

I've provided a link to a relevant PowerPoint file from Labor Department. It cites the specific US Code that would be at issue. I took a look through it and note it lacks process for filing a complaint, track record of complaints vs. corrective action. My past experience is it's rather low. BTW this isn't an EEO thing as it isn't covered under Title VII law. Best to fire for effect vs. spray and pray. Also, when confronted, the employer typically says their low level HR type didn't understand blah blah, received appropriate training, and the position is filled but you are welcome to submit again. Nobody tends to follow up on blacklisted folk. Then again, do you really want to work for those clowns?

https://www.dol.gov/oasam/programs/crc/IdentifyingUSERRAVETS.ppt

Yes!