After studying at Cambridge, Cavendish entered the Royal Mews where he was trained, along with Prince Henry, in the art of the manège by the French master, Monsieur St Antione. His talent for, and expertise in, horsemanship, along with his intellectual, artistic and literary passions, were, from this point onwards, integrated with his courtly ambitions, and defined him as a significant royalist figure as much as his prominent role in the Civil War did. As well as being a prolific playwright, poet and musician himself, and facilitator of familial literary production, he was an important patron of Ben Jonson and James Shirley and an art collector, especially of paintings by Antwerp artists such as Van Dyck and Alexander Keirinex.

In 1638 his desire for a court appointment was fulfilled: he became the governor of Prince Charles, and amongst other things, taught him to ride, helped shape his personality and had a formative influence on the development of his values. Subsequently, during the Civil War, Cavendish became Commander-in-Chief of Charles I's Northern Army. After his defeat at Marston Moor in 1644, he went into exile, firstly to Henrietta Maria's exiled court in France and then to Antwerp, where he stayed until the Restoration in 1660. While in Antwerp, during a particularly low point in his period of exile, he occupied himself with his horses and horsemanship displays, and wrote and published La Méthode Nouvelle et Invention Extraordinaire de Dresser les Chevaux (1657-8).