Following the concern in Britain that neutral Denmark was entering an alliance with Napoleon, Cochrane, now a rear admiral, in 1807 sailed in (74 guns) as commander of the squadron of ships that were sent to occupy the Danish West Indies. In 1809 he commanded naval forces in the conquest of Martinique. He held the position of Governor of Guadeloupe from 6 February 1810 to 26 June 1813.