Walker-Heneage was born the third son of Major Clement Walker Heneage of Compton Bassett, Wiltshire and Henrietta Letitia Victoria on 4 February 1871.

Walker-Heneage joined the Royal Navy in 1886, as a midshipman on the battleship HMS Triumph commanded by Algernon Heneage, a distant relative.

He took the ship on a secret mission to collect gold bullion from South Africa and was afterwards part of the naval support at the Gallipoli landings.

In 1915–16 he was commodore commanding small vessels in the eastern Mediterranean, including 160 minesweepers and in 1916–17 was in charge of the allied barrage across the Strait of Otranto.

Walker-Heneage became Senior British Naval Officer in Italy and was promoted to rear admiral in 1918 and appointed an Aide-de-Camp to King George V in 1917–18.