On a family holiday to Saudi Arabia and Pakistan in his late teens, Begg became interested in Islam. In late 1993 he returned to Pakistan and crossed the Pakistani–Afghan border with some young Pakistanis near the city of Khost. Begg said he visited a camp where US-backed nationalist and Islamic rebels were training to fight the Soviet-backed Afghan government. The training camp was run by either the anti-Taliban Northern Alliance or a Pakistani group fighting for Kashmir. Begg later wrote of his time at the camp: "I had met men who seemed to me exemplary in their faith and self-sacrifice, and seen a world that awed and inspired me". Begg says he did not participate in the training.