Pryce began his military career on the unattached list in 1895. He served his first year in India with the 1st Battalion, the Duke of Cornwall's Light Infantry, followed by a posting to the 18th Infantry, the 10th/9th Jats, and the Supply and Transport Corps. As a master of transport, he commanded a mule corps in the British expedition to Tibet, 1903–04. He later authored "Transport Training Notes", which served for many years as a valuable handbook to the corps. He then graduated from the Staff College, Quetta, and in 1912 began a distinguished career at Army Headquarters at Shimla.