Fox was also a keen mountaineer; having started mountain climbing in 1884, he joined the Alpine Club the following year. He received training initially from William Woodman Graham and then William Cecil Slingsby. According to an article in The Times, he was well regarded by his peers as a climber of great skill and daring. He was a very experienced alpine climber, and often climbed without guides, ascending Aiguille du Dru, Fletschhorn, Ober Gabelhorn amongst others in this fashion. With guides, he climbed some of the toughest mountains in the Alps, such as the Matterhorn and the Eiger.