 Baily joined the 3rd Volunteer Battalion of the Somerset Light Infantry as a second-lieutenant in 1900, and the following year was promoted to lieutenant.He was promoted again in 1904, to captain, and by 1905 he commanded "C" (Glastonbury) company of the battalion.He married Dora Glass in Clifton in March 1905, at which time he helped run the family business, working as a book-keeper for Messrs A Baily and Co, at the Beckery Leather Factory in Glastonbury.