On 5 March 1704, he raised his own regiment – Colonel Elliott's Regiment of Foot. Officers were commissioned on 10 April that year at St James'. On 2 July 1704, again on campaign with the Duke of Marlborough, he fought and was wounded at the Battle of Schellenberg. It is possible that he fought at the Battle of Blenheim on 13 August 1704. However, he certainly did not lead the cavalry at this battle, as has been maintained by other biographies – this was led by General Sir John 'Salamander' Cutts.