A descendant of an Ó Conghalaigh clan of Ireland, Conolly was a cousin of Sir William Macnaghten, Secretary of the British East India Company's Political and Secret Department.

[2] As a sixteen-year-old impressionable cadet, he sailed to India on the Grenville and listened to Reginald Heber, the newly-appointed Bishop of Calcutta, evangelize.

[5] In 1841, in an attempt to counter the growing penetration of Russia into Central Asia, Conolly unsuccessfully tried to persuade the various khanates there to put aside their differences.

In November 1841 he was captured while on a rescue mission to free fellow British officer Lieutenant Colonel Charles Stoddart, held in Bukhara.

In 1845, Rev Joseph Wolff, who had undertaken an expedition to discover the two officers' fate and barely escaped with his life, published an extensive account of his travels in Central Asia, which made Conolly and Stoddart household names in Britain for years to come.