His father was Hugh de Fellenberg Montgomery, a landowner and Ulster Unionist politician, and his mother was Mary Sophia Juliana May Montgomery (née Maude). The young Montgomery was educated at Charterhouse and at the Royal Military Academy, Woolwich, and then was commissioned a second lieutenant into the Royal Field Artillery on 4 November 1891. He was posted to a field battery in India in 1892 and became a lieutenant on 4 November 1894. He served with the Royal Field Artillery during the Second Boer War and took part in the Battle of Magersfontein and the Battle of Paardeberg. Having been promoted to captain on 8 March 1900, he was mentioned in despatches on 4 September 1901. He stayed in South Africa throughout the war, which ended with the Peace of Vereeniging on 31 May 1902, and returned home on the SS "Saxon" which arrived at Southampton in late October 1902.