Cole was born in Northwich, England, the youngest child of Viscount Cole and his wife Charlotte Baird. He enlisted in the British Army and fought in the Boer War, gaining the rank of Lieutenant in the 9th Lancers. After the war, along with his brother Galbraith, he settled in Kenya. Their sister Florence had in 1899 married Lord Delamere, the pioneer of European settlement in Kenya.
In 1920 he was elected as a Member of the Kenyan Legislative Council and he was re-elected unopposed in 1924.
He was a charismatic figure amongst the early European settlers in Kenya and a close friend of Karen Blixen who later featured him and their mutual friend Denys Finch Hatton in her memoir Out of Africa. He was notable as the founder of the Muthaiga Club, a private Nairobi enclave of the colony's demi-monde. He died of heart failure at Naro Moru on 27 April 1925 aged 42.