After leaving Oxford with fourth-class honours in history, Kelly studied the piano under Iwan Knorr at the Hoch Conservatory in Frankfurt, alongside members of the Frankfurt Group. On his return to London in 1908 he acted as an adviser to the Classical Concert Society and used his influence in favour of the recognition of modern composers. At this time he met and became a close friend of Leonard Borwick, probably England's finest pianist at the time. In 1911 he visited Sydney and gave some concerts, and in 1912 took part in chamber music concerts in London. He performed with Pablo Casals, and he helped organise a concert in London by Maurice Ravel, on 17 December 1913 at the Bechstein Hall.