After an unsuccessful candidacy as a United Labor Party (ULP) member in 1899, he was elected as an "independent liberal" in a by-election in 1900.

Denny served as Attorney-General of South Australia and Minister for the Northern Territory in the government led by John Verran (1910–12), during which he drafted and led several important legislative reforms, including housing reforms assisting workers to purchase homes, and a law enabling women to practise law in South Australia for the first time.

In August 1915, Denny enlisted in the First Australian Imperial Force to serve in World War I, initially as a trooper in the 9th Light Horse Regiment.

He was awarded the Military Cross in September 1917 after he was wounded while leading a convoy into forward areas near Ypres, and ended the war as a captain.

During his early twenties he was active in the literary and debating societies of Adelaide, was Chairman of the Christian Brothers Old Collegians Association, and captain of two city rowing clubs.

[2] He unsuccessfully contested the two-member seat of West Adelaide in the 1899 South Australian colonial election as a ULP candidate, gaining 27.7 per cent of the vote.

[5] When a by-election was held for West Adelaide on 17 March 1900, Denny was elected to the single vacancy created by the resignation of the former Premier of South Australia, Charles Kingston.

Denny contested the new four-member electoral district of Adelaide, and was elected second in the count with 14.3 per cent of the votes cast.

[11] He was again returned first at the 1910 state election,[12] after which the ULP led by John Verran formed the first Labor government of South Australia on 3 June.

[13][14] Having begun studying law at the University of Adelaide in 1903,[1][3] Denny was articled to J.R. Anderson, KC,[15] and was admitted as a solicitor in the Supreme Court of South Australia in 1908.

[19] Verran called an election in February 1912, and the ULP were defeated by the Liberal Union, although Denny was again returned first in the seat of Adelaide with 15.8 per cent of votes cast.

[1] In January 1917, despite his previous stance on conscription, Denny refused requests to endorse it, instead stating that he did not think that intervention would be compatible with his duties as a soldier.

[1] On the night of 15 September 1917, he was leading a convoy carrying water to forward areas when it was hit by a heavy artillery barrage, and he was wounded.

His recommendation for the Military Cross read:[26] For conspicuous gallantry and devotion to duty whilst engaged in pack transport work near HOGGE on the night of 15 September 1917.

Lieutenant DENNY showed great coolness and initiative throughout, especially when his convoy came under very heavy barrage in the vicinity of CLAPHAM JUNCTION.

[3] Still serving overseas at the time of the 1918 state election, Denny was returned first of three in Adelaide with 30.2 per cent of the ballots cast.

[31] The land used for this development was the site of the Mitcham military camp at which Denny had trained before embarking for service overseas.

[16] On Anzac Day 1931, acting as Premier in Hill's absence, he officiated at the unveiling of the National War Memorial at the corner of North Terrace and Kintore Avenue, Adelaide, before a crowd of about 75,000.

[42] In 1931, Denny was expelled from the Labor Party, along with Hill and the rest of the cabinet, for supporting the "Premiers' Plan", which sought to impose austerity measures due to the poor economic conditions.

He died on 2 May 1946[1] of a heart attack which developed at his home on Osmond Terrace, Norwood, after he returned from his office in Adelaide.