Born in Glasgow, He was the son of Colonel Thomas Kelly of the 40th Regiment of Foot and was educated at St Charles's College, Kensington, where he learned Spanish from a fellow pupil and taught himself to read Don Quixote. Obtaining work in 1885 as a tutor in Jerez de la Frontera to Buenaventura Misa y Busheroy, the son of the I Count of Bayona, later the Marquis of Misa. In Madrid he started the first version of his biography on Miguel de Cervantes. Around 1886, he met Ambassador Juan Valera, politician and war journalist Gaspar Núñez de Arce, and other important poets and intellectuals. He wrote on Hispanic Culture subjects for The Spectator, Athenæum and Pall Mall Gazette. Returning to England, he established his reputation on Spanish literature through his reviews and articles for London periodicals. His History of Spanish Literature was published in 1898 and confirmed his reputation.