Following the outbreak of the First World War, he was appointed as First Secretary to the Embassy in Copenhagen on 16 August 1914, where he served through most of the conflict.

Gurney was not popular at Copenhagen where he was accused of being timid and lacking in judgement by Ambassador Ralph Paget.

When Paget took up the position of Ambassador to Brazil in the summer of 1918, the Foreign Office in London decided to remove Gurney from Copenhagen as well due to his being almost universally disliked by his subordinates.

This highly unusual move of replacing the First Secretary at the same time as the Ambassador threatened to cut short Gurney's advancement and diplomatic career, but the crisis eventually passed.

[5] Their children included Isabel Marion Gurney, who married Lord John Kerr, younger brother of Peter Kerr, 12th Marquess of Lothian, and Susan Richenda Gurney, who married (as his second wife) Rodney Elton, 2nd Baron Elton.