Windham entered the army and was a Cornet in the 6th Dragoon Guards in 1698 and Captain in 1702, serving under the Duke of Marlborough. At the Battle of Blenheim in 1704, he lost a leg. In September 1705, he married Anne Tyrrell, daughter of Sir Charles Tyrrell, 2nd Baronet. He became a lieutenant-colonel in 1706 and by 1712 he was in the reserve. In 1720, he bought an estate at Earsham, including Earsham Hall out of the profits he made from the South Sea bubble.