Born in New York capital, Albany, King was the son of Civil War general Rufus King, grandson of Columbia University president Charles King, and great grandson of Rufus King, who was one the signers of the United States Constitution on September 17, 1787, in Philadelphia. He graduated from West Point in 1866 and served in the Army during the Indian Wars under George Crook. He was wounded in the arm and head during the Battle of Sunset Pass forcing his retirement from the regular army as a captain in 1879. During this time he became acquainted with Buffalo Bill Cody. King would later write scripts for several of Cody's silents films. He also served in the Wisconsin National Guard from 1882 until 1897, becoming Adjutant General in 1895.