Budge was a member of the literary and open-minded Savile Club in London, proposed by his friend H. Rider Haggard in 1889, and accepted in 1891. He was a much sought-after dinner guest in London, his humorous stories and anecdotes being famous in his circle. He enjoyed the company of the well-born, many of whom he met when they brought to the British Museum the scarabs and statuettes they had purchased while on holiday in Egypt. Budge never lacked for an invitation to a country house in the summer or to a fashionable townhouse during the London season.