On leaving the army he was given such hearty thanks and generous rewards as no other American ever received from the British War Office. He was promoted to the rank of major, presented with a large sum of money, and from Lord Roberts received a personal letter of thanks and appreciation.
In part the Field-Marshal wrote: “I doubt if any other man in the force could have successfully carried out the thrilling enterprises in which from time to time you have been engaged, demanding as they did the training of a lifetime, combined with exceptional courage, caution, and powers of endurance.” On his arrival in England he was commanded to dine with the Queen and spend the night at Osborne, and a few months later, after her death, King Edward created him a member of the Distinguished Service Order, and personally presented him with the South African medal with five bars, and the cross of the D. S. O. While recovering his health Burnham, with Mrs. Burnham, was “passed on” by friends he had made in the army from country house to country house; he was made the guest of honor at city banquets, with the Duke of Rutland rode after the Belvoir hounds, and in Scotland made mild excursions after grouse. But after six months of convalescence he was off again, this time to the hinterland of Ashanti, on the west coast of Africa, where he went in the interests of a syndicate to investigate a concession for working gold mines.
With his brother-in-law, J. C. Blick, he marched and rowed twelve hundred miles, and explored the Volta River, at that date so little visited that in one day’s journey they counted eleven hippopotamuses. In July, 1901, he returned from Ashanti, and a few months later an unknown but enthusiastic admirer asked in the House of Commons if it were true Major Burnham had applied for the post of Instructor of Scouts at Aldershot. There is no such post, and Burnham had not applied for any other post. To the Timer he wrote: “I never have thought myself competent to teach Britons how to fight, or to act as an instructor with officers who have fought in every corner of the world. The question asked in Parliament was entirely without my knowledge, and I deeply regret that it was asked.” A few months later, with Mrs. Burnham and his younger son, Bruce, he journeyed to East Africa as director of the East African Syndicate.