[3][4] He was one of William Benson Earle's chosen companions on the grand tour, the other being Henry Penruddocke Wyndham.
[5] In 1769, Windham returned from an extended tour through France, Italy, Istria, and Switzerland.
He was also an Italian scholar, had some knowledge of natural history, and acquired a noted antiquarian library.
His only publication under his own name was Observations upon a Passage in Pliny's Natural History, relating to the Temple of Diana at Ephesus, in Archæologia, vol.
Windham also contributed much of the letterpress for it, as well as most of the text of the second volume of Antiquities of Ionia, published in 1797 by the Society of Dilettanti.