In 1804 Cox was promised work by the theatre impresario Philip Astley and moved to London, taking lodgings in 16 Bridge Row, Lambeth. Although he was unable to get employment at Astley's Amphitheatre it is likely that he had already decided to try to establish himself as a professional artist, and apart from a few private commissions for painting scenery his focus over the next few years was to be on painting and exhibiting watercolours. While living in London, Cox married his landlord's daughter, Mary Agg and the couple moved to Dulwich in 1808.