In 1881 Denham migrated to South Australia where he formed a business partnership in Mallala with a commercial traveller, George Cable Knight.
He became involved in several other companies over the following years and by the early 1900s he was chairman of the New Swanbank Colliery Co. and one of the leading businessmen in Brisbane.
He campaigned in opposition to a state income tax which Robert Philp's government had proposed, although by the time he became premier in 1911, he had concluded that it was not high enough.
In September 1903 Philp's government resigned when its income tax measures were narrowly passed with three supporters, including Denham, crossing the floor.
However, the Ministry did not command the support of a majority of Parliament, and failed almost immediately, with a new election in February 1908 returning government to Kidston's party.
However, later that year, Kidston amalgamated his own party with Philp's as the Liberals, and Denham returned to the ministry as Secretary for Public Lands.
A tramway and general strike erupted in Brisbane on 18 January 1912, and Denham enlisted the police and special constables to deal with the strikers, who were criticised for their violent handling of the dispute.
When the Commonwealth refused his request to send in the armed forces, Denham contemplated landing troops from a German warship to assist.