Born in Drumcondra, Dublin, Coghill was the eldest son of Sir John Joscelyn Coghill (1826-1905), 4th Baronet, JP, DL, of Drumcondra, Co. Dublin (see Coghill baronets), and his wife, the Hon.
Coghill was educated at Haileybury College from 1865-69[REF] In 1876 he set sail with the 24th Regiment of Foot to Cape.