We study the confinement/deconfinement transition in the D0-brane matrix model (often called the BFSS matrix model) and its one-parameter deformation (the BMN matrix model) numerically by lattice Monte Carlo simulations. Our results confirm general expectations from the dual string/M-theory picture for strong coupling. In particular, we observe the confined phase in the BFSS matrix model, which is a nontrivial consequence of the M-theory picture. We suggest that these models provide us with an ideal framework to study the Schwarzschild black hole, M-theory, and furthermore, the parameter region of the phase transition between type IIA superstring theory and M-theory. A detailed study of M-theory via lattice Monte Carlo simulations of the D0-brane matrix model might be doable with much smaller computational resources than previously expected.