He entered the Royal Horse Guards in 1859. Finding no chance for active service, his spirit of adventure sought outlets in balloon ascents and in travels through Spain and Russia with his firm friend, George Radford. In the summer of 1874 he accompanied the Carlist forces in Spain as correspondent for "The Times", but before the end of the war he was transferred to Africa to report on Gordon's expedition to the Sudan. This took Burnaby as far as Khartoum.