First assure that your game settings only give the AI a small detection advantage. The AI plans with what it "sees", and if it sees a bunch of un-garrisoned locations way back in your hinterland, Athena is likely to go for one or two, which is actually illogical, unless it's maybe Pittsburgh.
So, if Athena's detection advantage is small, and you are still seeing infiltration into your hinterland, you will need to be ready for this.
First off, be proactive. Scout! Don't let yourself be surprised by the enemy. Use cavalry to locate and track them. Give your cavalry the Evade Combat SO (Special Order), and Green/Green (Posture/RoE (Rules of Engagement) = Passive Posture (they will basically do nothing but detect enemy stacks)/Retreat (if engaged - higher chance of getting away from the enemy if caught)). Your scouts don't actually have to enter the region in which an enemy stack is located to detect its content, but if the enemy has cavalry in the region, their cavalry may screen their forces from exact detection (you won't see details). Remember, your cavalry carries only enough GS (General Supplies = food) for 2 turns, which means, one turn to sortie out, and one turn to return to a supply source, which can be a City, Harbor, Depot, Fortification, or a friendly stack, especially if the stack has a Supply Unit). You can actually send out a stack to rendezvous with a returning scout if the scout got delayed through an attack or poor weather and won't make it back in time. You scouts must be in the same stack as units with supplies at the start of the third turn for them to get supplies shared with them.
If you see the enemy gathering a stack in an area where they might lunge around your front line, look for where they might be targeting. Often such targets will be obvious. Understand that to infiltrate, the enemy needs to either bring enough supplies with them to operate for more than two turn, or find access to your supplies. If they bring a Supply Unit, they will be greatly slowed down. If not, them MUST gain access to your supplies. Prevent them at all costs.
Often it is enough to garrison the target with enough troops to prevent them from taking the location immediately. But that is to buy you time to send a force strong enough to push them back out. If they didn't bring a Supply Unit after their second turn away from supplies, they wills start taking heavy cohesion losses, which will weaken them considerably. This can be a great opportunity to actually destroy an enemy stack, or at least cause heavy casualties, which must be replaced and are costly in time and money.
In the worst case, if they've gained access to a lot of supplies, you will have to ferret them out, possibly besiege them, if they move to inside their captured location. If you have to besiege them you will need as much offensive artillery as possible (10lb-ers, siege artillery, etc, not 6 and 12lb-ers, although every little bit helps, but you might need those elsewhere to defend).
Be quick and be flexible. Don't fight piece-meal, even if you have to take time to gather forces. Contain and destroy.