The son of Frank Carvill Cosby (b. 1840, d. 1905) and Charlotte M. Cosby (b. 1841, d. 1927). Cosby graduated from Harvard University in 1894 and was practicing law in New York when the Spanish American War broke out in 1898. He volunteered and served in the First Volunteer Cavalry "The Rough Riders", Troop K. He fought in Cuban Campaign and was seriously wounded in the first day's fight before Santiago. The Rough Riders were ambushed from cover by the Spaniards and he was shot in the chest by a 7mm Mauser rifle. As soon as he was able to travel he was brought to Washington and placed in the hospital at Fort Myers. He recovered although he carried the Mauser bullet for the rest of his life. He retired from the Army at the rank of Lt. Colonel in the U.S. Army Reserve.

The son of Frank Carvill Cosby (b. 1840, d. 1905) and Charlotte M. Cosby (b. 1841, d. 1927). Cosby graduated from Harvard University in 1894 and was practicing law in New York when the Spanish American War broke out in 1898. He volunteered and served in the First Volunteer Cavalry "The Rough Riders", Troop K. He fought in Cuban Campaign and was seriously wounded in the first day's fight before Santiago. The Rough Riders were ambushed from cover by the Spaniards and he was shot in the chest by a 7mm Mauser rifle. As soon as he was able to travel he was brought to Washington and placed in the hospital at Fort Myers. He recovered although he carried the Mauser bullet for the rest of his life. He retired from the Army at the rank of Lt. Colonel in the U.S. Army Reserve.