Gascoigne was a captain in the Royal Horse Guards and served in the Egyptian War of 1884 to 1885. He was second-in-command and later commanding officer of the 3rd Battalion Imperial Yeomanry in the Second Boer War in South Africa from 1900 to 1901, and was awarded the Distinguished Service Order in 1900. He was lieutenant-colonel and honorary colonel commanding the Yorkshire Hussars in 1903 and an honorary colonel in the British Army in 1904.