Educated at St Peter's School, York, Eton College and the Royal Military College, Sandhurst, Malcolm was commissioned into the Argyll and Sutherland Highlanders as a second lieutenant on 20 February 1889. He was promoted to lieutenant on 23 August 1893. In 1896 he travelled with Capt. Montagu Sinclair Wellby across Tibet and northern China. He served with the 2nd battalion under Sir William Lockhart in the Tochi Field Force on the North West Frontier of India in 1897. Following a stint in Uganda, where he conducted operations in Shuli country, he was appointed a Companion of the Distinguished Service Order (DSO) and promoted to captain on 21 December 1898. He served with mounted infantry in the Second Boer War in South Africa from late 1899, and took part in the Battle of Paardeberg in February 1900, where he was severely wounded by a gunshot in his thigh.