Fox was born in Derby in Derbyshire in 1843, one of six children born to Marianne "née" Strutt (1814–1898) and Douglas Fox (1798–1885), a magistrate and surgeon. He was educated at Rossall School and Brighton College before joining the army. Fox began his military career serving with the 100th (Prince of Wales's Royal Canadian) Regiment of Foot from 1863-1875, being promoted to Lieutenant in 1865 and Captain in 1871. With his regiment he saw service in Malta. After transferring to the 42nd (Royal Highland) Regiment of Foot (the 'Black Watch') he was with his regiment in Aldershot in 1881 before seeing service in the Egypt Campaign where he was wounded during the Battle of Tell El Kebir in 1882. In Alphonse-Marie-Adolphe de Neuville's painting "The Storming of Tel el Kebir" (1882) Fox is depicted to the left wounded in the shoulder and being held by another soldier, whereas in reality he was shot in the thigh.