He moved to Edmonton, Alberta, Canada, and worked as a police officer, Indian agent, and author.
Denny was a founding member of the North-West Mounted Police of which he became inspector.
He was later a police magistrate and a commissioner-in-charge to a number of native tribes.
[2] In 1921 he succeeded his step brother, Sir Robert Denny, to become 6th Baronet of Castle Moyle.
[2] He died, unmarried, in 1928 and was buried in Union Cemetery, Calgary.