Only twelve years after what became the War of the Spanish Succession, the Dorsets, or Colonel Coote's Regiment, was raised by a Royal Warrant dated 12 February in Ireland in 1702. The Regiment, eventually numbered the 39th of Foot, was partly formed from soldiers of a disbanded regiment (Lisburne's) and was raised as a part in another increase in size of the Army. Signing the officer's commissions was virtually William III's last act on his deathbed. Colonel Richard Coote was shortly afterwards killed in a duel and was succeeded by Colonel Sankey, whose name the Regiment took.
This time, additional troops were required to take part in the Duke of Marlborough's campaigns on the continent of Europe but Sankey's regiment spent the first five years of its existence in garrison duties in Ireland. Though neither of the regiments that were to become the Devons and the Dorsets were to take part in any of the four major battles in the twelve years of the war, they campaigned in the Low Countries, France, Germany Spain and North America. In an age when warfare had more to do with manoeuvre and sieges, the two regiments marched countless miles, scaled many a rampart and fought many bloody actions that fell short of full battle.
Sankey's Regiment's first campaign was in Portugal and Spain under the command of the Earl of Peterborough. This famous officer mounted Sankey's regiment on mules to provide mobility that enabled them to keep up with the cavalry. In May 1709, reaching the battlefield of Caya, in such manner, the Regiment distinguished itself, earning praise for its exceptional steadiness and bravery and the nickname 'Sankey's Horse'.
In 1712 Sankey's was in Portugal and the following year made its first acquaintance with the fortress Rock of Gibraltar. Service in Minorca followed, along with a period as marines aboard Admiral Byng's fleet, taking part in the Battle of Messina.
In 1726 the Regiment, having been hurried to Gibraltar to reinforce the garrison, spent a strenuous year on the Rock, during the first siege by the Spaniards. The Regiment now numbered the 39th of Foot, saw service in the West Indies and, after returning home from Jamaica, had another spell of active service afloat as marines.