Challenor joined the British Army where he was commissioned as a second lieutenant in the Leicestershire Regiment on 19 July 1893, and promoted to lieutenant on 1 July 1896. He served with the 1st battalion of his regiment in the Second Boer War in South Africa 1899–1902. Taking part in the first major battle of the war, at Talana Hill in October 1899, he then joined the march from Dundee to Ladysmith, took part in the battle for the city the same month (which the British lost), and was in the city during the following siege. After Ladysmith was relieved in February 1900, the battalion was part of the following advance through Natal to Transvaal, taking part in several battles including Bergendal in August 1900. He then served in various parts of Transvaal during the next year, and was promoted to captain on 26 October 1901.