Sir Henry joined the Royal Army in 1895 and was named a Companion of the Distinguished Service Order in 1917. He became a Knight Commander of the Order of the Bath in 1932. Like his father, Lt.-Col. Douglas Davidson Pryce, Rhys-Pryce served in the Indian Army. He also served in Tibet (1904), in WWI, receiving the Croix de Guerre of Belgium, and in Waziristan (1920). He held various official posts, including that of Master-General of Ordnance, Army Headquarters, India (1934-38). On 19 December 1900, Sir Henry married Alice Louisa, daughter of R.F.H. Pughe. They had two sons, one of whom was killed in action while serving in the Royal Air Force in 1940.