He converted to Roman Catholicism in 1886 and was confirmed by Cardinal Manning. With his conversion came a strongly-felt vocation to the priesthood, which persisted throughout his life despite being constantly frustrated and never realised. In 1887 he was sponsored to train at St Mary's College, Oscott near Birmingham and in 1889 was a student at the Pontifical Scots College in Rome, but was thrown out by both due to his inability to concentrate on priestly studies and his erratic behaviour.