On his return to India in 1802, he was employed against Sindhia, but being irritated at another appointment given to Wellesley he relinquished his command and returned to Europe. In 1804 he was knighted, and in 1805–1806, being by now a lieutenant-general, he commanded the expedition against the Cape of Good Hope with complete success, capturing Cape Town and forcing the Dutch general Janssens to surrender. But here again his usual ill luck attended him. Commodore Sir Home Popham persuaded Sir David to lend him troops for an expedition against Buenos Aires; the successive failures of operations against this place involved the recall of Baird early in 1807, though on his return home he was quickly re-employed as a divisional general in the Copenhagen expedition of 1807. During the subsequent Battle of Copenhagen, Baird was wounded. The same year he was made Colonel of the 24th (2nd Warwickshire) Regiment of Foot, a post he would hold until his death.