Anderson was promoted once more to captain on 22 August 1899 and saw active service in Tibet between 1903–1904. On 22 August 1906, he was promoted to major. At the outbreak of the First World War in August 1914, Anderson was promoted to lieutenant-colonel and became the second-command of the 9th Bhopal Infantry. The battalion was deployed to France, where Anderson was killed in action on 29 October 1914 by a shell near La Gorgue. He was buried at Pont-du-Hem Military Cemetery, La Gorgue.