Having retired from the regular army, he was appointed lieutenant-colonel in command of the Norfolk Artillery Militia on 21 February 1894.

[1] Following the outbreak of the Second Boer War in late 1899, the militia regiment was embodied in May 1900, and around 100 men were sent to South Africa under the command of Lord Coke.

After peace was declared in May 1902, they left Cape Town on board the SS Walmer Castle in late June,[2] and arrived at Southampton the following month.

For his service in the war, he was mentioned in despatches (including the final despatch by Lord Kitchener dated 23 June 1902[3]), and was made a Companion of the Order of St Michael and St George (CMG) in the October 1902 South African Honours list.

They had five children:[1] Alice Coke, Countess of Leicester was later appointed Dame Commander of the Order of the British Empire.