Shortly after he became an honorary servants' judge or magistrate (Hungarian: szolgabíró) in Fejér County and he was ordained a doctor of law in April 1904.

[2] Following the dissolution of Austria-Hungary and the fall of the short-lived Hungarian Soviet Republic, Khuen-Héderváry returned to the foreign service in the autumn of 1919.

He became head of the political department of the newly established independent Hungarian Ministry of Foreign Affairs in the rank of Class I councillor in 1920.

Khuen-Héderváry and his superior Kálmán Kánya, the deputy foreign minister played eminent role in the establishment of the operative organizational structure of the new ministry, modeling the abolished Austro-Hungarian Foreign Service, where most of the Hungarian apparatus served earlier and had previously been socialized.

[2] Khuen-Héderváry usually accompanied his second cousin István Bethlen, the Prime Minister of Hungary in his foreign trips in the 1920s, actively influencing his political decisions.

Throughout the 1920s, Khuen-Héderváry was involved in the negotiations with the League of Nations over various matters, most notably regarding the situation of the Hungarian minorities in the neighboring countries.

Following the resignation of Walko in November 1930, Bethlen intended to appoint Khuen-Héderváry as his successor, but he met with the fierce opposition of Regent Miklós Horthy and Gyula Károlyi eventually gained the position instead of him.

His first year as ambassador was overshadowed by the assassination of King Alexander I of Yugoslavia and French Foreign Minister Louis Barthou in Marseille in October 1934, since an investigation by the French police quickly established that the Croatian Ustaše assassins had been trained and armed in Hungary.

[5] According to the memoir of diplomat György Barcza, Khuen-Héderváry had strong confidence that the French government will act hard against the Nazi Germany if Adolf Hitler would declare war.