At the start of the First World War the 19th Lancers, assigned to the 2nd (Sialkot) Cavalry Brigade, were sent to the Western Front in France. He was promoted to lieutenant-colonel in November 1915. In 1916 he was given command of the 9th (Secunderabad) Cavalry Brigade, in the 2nd Indian Cavalry Division, seeing action at the Somme, Bazentin Ridge, Flers-Courcelette and Cambrai for which he was mentioned in dispatches four times. In 1917 he was promoted to brevet colonel. In 1918 all the Indian cavalry units in France were sent to serve in the Sinai and Palestine campaign. On arrival Gregory was given command of the 11th Cavalry Brigade, in the 4th Cavalry Division. The brigade fought at Megiddo and took part in the capture of Damascus.