The regiment did not exist before the Great War. It was formed in August 1914 under the administration of the GlamorganTerritorial Force Association. It was initially headquartered in Cardiff but later in 1914 it moved to Newtown and was transferred to the Montgomeryshire Territorial Force Association. By early 1915 it had moved to Diss (Norfolk) and been placed under command of the 1st North Midland Mounted Brigade in 1st Mounted Division.
1/1st Welsh Horse Yeomanry
- February 1915 : moved to Woodbridge and joined 1st Eastern Mounted Brigade, in same division.
- 25 September 1915 : dismounted and sailed from Liverpool on SS ‘Olympic’ for service at Gallipoli.
- 10 October 1915 : landed at Anzac cove and brigade came under orders of 54th (East Anglian) Division.
- December 1915 : evacuated from Gallipoli and moved to Egypt.
- 22 February 1916 : Eastern and Southern Mounted Brigades formed 3rd Dismounted Brigade, on Suez Canal defences.
- July 1916 : brigade moves to join Western Frontier Force,
- 4 March 1917 : merged with 1/1st Montgomeryshire Yeomanry to form 25th (Montgomery & Welsh Horse Yeomanry) Battalion of the Royal Welsh Fusiliers. Placed under command of 231st Brigade in 74th (Yeomanry) Division.
- May 1918 : moved with division to France.
2/1st Welsh Horse Yeomanry
- Formed at Newtown in September 1914 as a “second line” (training, draft-supplying reserve) for the 1/1st.
- July 1915 : moved to Dorchester area and came under command of 2/1st South Wales Mounted Brigade.
- September 1915 : brigade moved to Yoxford and came under orders of 1st Mounted Division.
- 1916 : aborbed into 2/1st Montgomeryshire Yeomanry.
3/1st Welsh Horse Yeomanry
- Formed as a “third line” (training, draft-supplying reserve for the 1/1st and 2/1st) at Newtown in 1915.
- Summer 1916 : attached to Third Line groups of Welsh Division at Oswestry.
- February 1917: disbanded. Troops to either 2/1st Montgomeryshire Yeomanry or 4th Reserve Battalion of the Royal Welsh Fusiliers.
In the 1917 renumbering of Territorial troops, the Welsh Horse was not allocated new numbers as the regiment had effectively ceased to exist by this time.