Earlier to the spread of colonialism Siam claimed control over many areas beyond its current extend like all over the Malay peninsula or all of present day Laos and Cambodia, however at that time this control was quite different than in the modern nation-states. The outlying areas were semi-independent and quite often were under the control of several overlords, like Cambodia which was somewhat shared between Siam and Vietnam. A great book on this evolution of the Thai territory is Siam Mapped: A History of the Geobody of a Nation by Thongchai Winichakul.
The last territory losses were in 1904 the area west of the Mekong next to Nan Province and near Champassak, and in 1907 the whole western part of modern day Cambodia, which all had to be ceded to French Indochina. And finally in 1909 several Malay states had to be ceded to the British, only Satun and Pattani staying with Siam. The fact that Pattani stayed with Siam despite its Malay roots still has its effects today with the ongoing insurgency there.
These latest territory losses were considered a blow to the national pride, so the nationalistic regime of Field Marshall Phibun Songkhram took the chance of regaining these areas during World War II. With approval of the Japanese, who were both an ally as well as the occupying force of Siam during that time, Siam took advantage of the defeat of the French in Europe and made the territory lost in 1907 a part of the country again. Vichy France, which formally kept control over French Indochina, had no choice but to approve this territory change. The newly won area was then subdivided it into 4 provinces - Lan Chang (ลานช้าง) in the north, and in Cambodia from west to east Phra Tabong (now Battambang, พระตะบอง), Phibun Songkhram (now Siem Reap, พิบูลสงคราม) and Nakhon Champassak (นครจำปาศักดิ์, the northern parts are now part of Laos). For these four provinces I could find announcements in Royal Gazette about the subdivision in Amphoe. I am not sure if the government reached a similar state of annexion for the northern Malay states and the Shan State, which were also given to Thai control by the Japanese - I haven't found anything in the Royal Gazette yet about province or districts in these areas. After the defeat of Japan all these territory changes were undone.
A discussion at pantip.com gives the whole source texts of the relevant Royal Gazette announcements, but what is said in the many other contributions there is sadly beyond my reading ability yet.