At the start of World War I the Greys mobilised and immediately departed for France, arriving on 17 August 1914. Cornwallis served with A squadron initially, first engaging the enemy on 22 August near Mons. He fought in the Battle of Mons and the subsequent retreat, during which his horse White Knight was killed. In mid September 1914 Cornwallis was wounded whilst advancing at the First Battle of the Aisne. He was evacuated to England, rejoining his unit in December.