Wellesley's diplomatic career began in 1791 when he was appointed attaché to the British embassy at The Hague. The next year, he became Secretary of Legation in Stockholm. In 1791 he exchanged into the 1st Foot Guards and in 1793 he purchased a Lieutenancy. In 1794, while on a trip home from Lisbon with his sister Anne, he was captured by the French, and remained in prison during the height of the terror, escaping only in 1795. In the latter year he sat for Trim in the Irish House of Commons.