Legge was commissioned as a lieutenant into the 3rd New South Wales Infantry Regiment in 1885 but resigned the next year. In October 1887 he was commissioned as a second lieutenant into the 1st New South Wales Regiment. He was promoted to lieutenant in 1892. In 1894 he was commissioned as a captain in the New South Wales permanent force. He immediately departed for a tour of duty with the British Army in India, serving a month with the 5th Dragoon Guards and three months with the Queen's Own Royal West Kent Regiment.