At the start of the Second World War Pelly-Fry was Flight Commander of 'A Flight' with the 223 Squadron, flying Vickers Wellesleys out of Nairobi in Kenya. When Italy entered the war in June 1940 his squadron was based at RAF Summit, an airfield along the rail line about 60 miles south west of Port Sudan. Their first combat mission on 11 June 1940 was a raid against Italian aircraft at the Gura airfield. Pelly-Fry led his flight of Wellesley bombers on a number of missions against Italian targets in Sudan and Italian East Africa during the East African Campaign. The flight was nicknamed "Pelly-Fry's Hell Divers". In August 1940, the squadron moved to Perim Island, near Aden to support operations in Italian Somaliland. Pelly-Fry was made commanding officer of 47 Squadron, also in the Wellesley wing and continued leading missions until he was transferred in January 1941.