Cunynghame joined the Army in November 1830 after purchasing a commission as a Second Lieutenant in the King's Royal Rifle Corps, 60th Rifles. He was promoted to Lieutenant on 2 May 1835 and in 1841 was transferred to the 3rd Buffs. He served in the First Opium War as "aide-de-camp" to Major-General Alexander Fraser, Lord Saltoun, and he was present at the Battle of Chinkiang. He was mentioned in despatches and was present at the Treaty of Nanking. He served as "aide-de-camp" to Saltoun through January 1844.