Baldry began his political career in the February 1974 general election, serving as personal assistant to Maurice MacMillan, then Chief Secretary to the Treasury and in the October 1974 general election, he was personal assistant to Margaret Thatcher. When Thatcher later became Leader of the Conservative Party in 1975, Baldry joined her Private Office, working as the link between Thatcher and the "Britain in Europe Campaign" and the "Yes" Campaign, for the 1975 EU referendum. Baldry was active in the European movement and won the Robert Schumann Silver Medal in 1978 for contributions to Europe.