Hoping for promotion to a diplomatic position, he took lessons in foreign languages, painting, dancing and music, but his application for the post of under-secretary to the British ambassador in Paris was unsuccessful.
This appears to have been a period when he lived beyond his means: in his 1779 Will, his father lamented that "the extravagance and ill conduct of my late son Cornelius has put it out of my power to make adequate provision for my daughters."
Cornelius Cayley wrote in his autobiography The Riches of God's Grace that "these studies, with public diversions, dress and gaiety, took up all my thoughts, and so immersed my mind in pleasure, that religion was entirely neglected... very few persons in that great metropolis (London) pursued a larger round of pleasures than what I did," though he added that his sense of shame stopped him from breaking "out into open licentiousness."
After the death that year of the Prince of Wales, he was kept on in the household of the Dowager Princess, Princess Augusta of Saxe-Gotha, but he was criticised for the periods he took off work for preaching, and eventually told to choose between preaching and retaining his post.
In 1772 he toured Holland, Flanders and France: the Leeds Weekly Newspaper published in instalments his account of these travels: it was subsequently issued in book form.