He had wanted to become a doctor, but circumstances meant that from 1868 he had to take on the management of Eyebury Farm (in The Fens, and historically attached to Peterborough Abbey) as a gentleman farmer.
Leeds' elder brother Charles, a student at the University of Oxford, had been encouraged by Professor John Phillips to persevere in collecting fossils from near his home.
Alfred joined him in these searches, and between them they developed better methods of disinterring, and of scientifically recording, fossils in soft clay than had been used before.
In 1887, Charles emigrated to New Zealand; but Alfred continued to search for fossils, assisted by his wife and by their second son, Edward Thurlow Leeds ((1877–1955), who was Keeper of the Ashmolean Museum from 1928–45).
From 1890 onwards, he began to present his most important specimens of Jurassic fossils from the Oxford Clay near Peterborough to the British Museum.