Early life and World War I
The son of the first-class cricketer Theodore Dury and his wife Helen Isabella Ingram, Dury was born at Harrow-on-the-Hill. He was educated at Harrow School, where he played for the school cricket team in 1913 and 1914. He enlisted in the 4th Battalion, London Regiment in January 1915 as a second lieutenant. He served during World War I, firstly with the London Regiment where he gained the rank of temporary lieutenant in September 1915. He served in the later stages of the war with the 3rd Battalion of the Grenadier Guards, and was given the temporary rank of captain in April 1918. In June 1918 he received the Military Cross for "conspicuous gallantry and devotion to duty". Dury ran forwards from the support trenches to direct the defence of two forward posts under heavy machine gun fire.
During the Battle of Albert in August 1918 he led his company in an attack that cleared the German trenches and captured a village. Later in the day he fell victim to German gassing and was temporarily blinded. One of his men later recalled that while recovering in the bed next to Dury in hospital he was reprimanded by him for stating that he was "In the Grenadiers" rather than the more formal "Grenadier Guards".
In February 1918 he was one of just twenty guests at the wedding of ballerina Phyllis Bedells to fellow Grenadiers officer Ian MacBean.