Marsham joined the Queen's Own West Kent Yeomanry (WKY), a Territorial Force cavalry unit, in 1902 as a 2nd lieutenant, being promoted to 1st lieutenant in 1909. At the start of World War I the WKY mobilised at Canterbury and began training as part of the South Eastern Mounted Brigade. In September 1915 the WKY sailed from Liverpool to take part in the Gallipoli campaign. After a short spell with the Yeomanry Base Depot on Lemnos, Marsham joined his unit on the front line, serving dismounted as part of the 42nd (East Lancashire) Infantry Division. He was evacuated with the WKY from Cape Helles in December 1915, moving to defend the Suez Canal in Egypt in 1916.