 Fox left Wellington in late July 1888 for the Caucasus Mountains in the Russian Empire, joining up with William Frederick Donkin and Clinton Dent. The three were aiming to become the first climbers to scale Koshtan-Tau, one of the few mountains in the region yet to be scaled. The three started from Nalchik, though Dent was forced to return home due to ill-health, leaving Fox and Donkin to attempt the climb, along with two Swiss guides. Their initial plan was to climb a glacier on the northern slopes of the mountain, and then make their final ascent on the western side. However, a rock wall on the western slopes prevented this, and they changed their plans to attack the mountain from the east. They planned to meet up with their outfitter to the south-east of the mountain, but after they missed that meeting, a message was sent back to Dent reporting the climbers missing. The Times reported on 6 October that Donkin and Fox, along with their guides, had suffered a mountaineering accident that had led "to the almost certain loss of four lives".
