Cecil was Lieutenant-Colonel Commandant of the 4th (Militia) Battalion, the Lincolnshire Regiment from 16 April 1890, with the honorary rank of colonel. During 1900 the battalion was stationed at Parkhurst barracks on the Isle of Wight, not far from Queen Victoria's residence Osborne House, where Cecil was a regular visitor. He resigned his commission on 13 September 1902, retaining his rank, when his younger brother Lord John succeeded in command of the battalion. During the First World War, he was a temporary major in the 9th Battalion, County of London Volunteer Regiment from 1 September 1916, relinquishing his commission in the Volunteer Force on 12 March 1920.