The ninth son of an Irish noble family, Cosby, as was the custom of the younger sons of nobles, joined the military and became an officer. His younger sister, Elizabeth, married Richard Philipps and thus we see how Cosby established his connection to Nova Scotia. He came out, likely, in 1721, taking up his duties chiefly at Canso. Being at Canso did not deprive him of the more congenial company to be found at Annapolis Royal, for we see that Cosby married (1726) one of the Winniett girls of Annapolis Royal, Anne (b. 1712), a grand daughter of Pierre Maisonnat, "Baptiste," the famous French privateer.
Cosby was "habitually quarrelsome" and fought with his fellow officers both at Canso and at Annapolis Royal; though, it seems, Cosby always had the upper hand, and this because his brother-in-law was the Governor. At Canso, Cosby fought with his fellow officers, Captains Jephson and Heron; they were junior to him, and, so, after a particularly bad scene, Cosby had them arrested and sent to Annapolis Royal for a court-martial; nothing much seem to come of this except to add to the frustration of the commanding officer at Annapolis Royal, Cosby's boss, Armstrong another hot heated Irishman. Armstrong, as we may see from our narrative, was found dead on December 6th, 1739, having run himself in with his own sword; with this event, Cosby was appointed lieutenant-colonel, a position which put him over Mascarene. Cosby and Mascarene refused to speak with one another and "the conflict continued unabated until Cosby's sudden death at Annapolis Royal on December 27th, 1742." (Calnek has his widow, Anne, living "for nearly half a century" at Annapolis Royal where "she was known and respected as 'Madame Cosby'.")