Alexander spent most of the First World War on the Western Front. As a 22-year-old platoon commander in the 1st Battalion, Irish Guards, he served with the British Expeditionary Force (BEF) in 1914. He took part in the retreat from Mons and was wounded at First Ypres and invalided home. He was promoted to temporary captain on 15 November 1914 and permanent captain in the newly raised 2nd Battalion on 7 February the following year.