After attending courses in the United Kingdom, Sellheim served in the Second Boer War as an officer attached to British units and the chief of staff of Harry Chauvel's Mounted Infantry, taking part in the Battle of Belmont and the Battle of Modder River. He later joined the Queensland Mounted Infantry during the advance on Pretoria. For his services during the war, Sellheim was appointed a Companion of the Order of the Bath and also Mentioned in Despatches.