After passing the Foreign Office examinations, Hay was expected to follow his father into diplomacy but instead became infatuated with Lady Idina Sackville, a daughter of Gilbert Sackville, 8th Earl De La Warr, the divorced wife of the politician Euan Wallace and the wife of Charles Gordon.

The Happy Valley set were a group of elite, colonial expatriates who became notorious for drug use, drinking, adultery and promiscuity, among other things.

They lived in Oserian, a Moroccan-style house on the shores of Lake Naivasha, and his new wife became involved with the hedonistic lifestyle of Happy Valley.

On a visit to England in 1934, Lord Erroll joined Oswald Mosley's British Union of Fascists and on his return to Kenya a year later, became president of the Convention of Associations.

[4] On the outbreak of World War II that year, Lord Erroll became a captain in the Kenya Regiment and accepted the post of Military Secretary for East Africa in 1940.

[7] Lord Erroll is buried in the graveyard of St Paul's Anglican Church in Kiambu, Kenya, next to his second wife, Molly.