In 1802 Major-General Baird returned across the desert to India, and was removed to the Madras staff in 1803, and commanded a large division of the army forming against the Mahrattas. He marched into the Mysore country, where the Commander-in-Chief, Lieut.-General James Stuart, joined him, and afterwards arrived on the banks of the river Jambudra, in command of the line. Major-General Wellesley, the present Duke of Wellington, being appointed to the command of the greater part of the army, Major-General Baird proceeded into the Mahratta country, and subsequently obtained permission to return to Great Britain. He sailed in March with his staff from Madras, and was taken prisoner by a French privateer. In October he was re-taken as the ship was entering Corunna. He arrived in England on the 3d of November, having given his parole that he should consider himself as a prisoner of war; but shortly after Major-General Baird and staff were exchanged for the French General Morgan and his staff.
Major-General Sir David Baird, who had received the honour of knighthood, was promoted to the rank of lieut.-general on the 30th of October 1805, and commanded an expedition against the Cape of Good Hope, where he arrived on the 5th of January 1806, and effected a landing on the following day. On the 8th, the Dutch army was defeated; on the 10th, the castle and town of Cape Town surrendered; and on the 18th, General Janssens surrendered the colony. In 1807 Lieut.-General Sir David Baird returned to England, and on the 19th of July of that year was removed from the colonelcy of the fifty-fourth to that of the twenty-fourth regiment. His next service was in the expedition to Copenhagen under Lieut.-General Lord Cathcart, at the siege of which he commanded a division, and was twice slightly wounded. In 1808 Lieut.-General Sir David Baird was placed on the staff in Ireland, and commanded the camp on the Curragh of Kildare. In September of that year he embarked at the Cove of Cork, in the command of a division, consisting of about five thousand infantry, for Falmouth, where he received reinforcements, and sailed in command of about ten thousand men for Corunna, where he arrived in the beginning of November, and formed a junction with the army under Lieut.-General Sir John Moore. Lieut.-General Sir David Baird commanded the first division of that army, and in the battle of Corunna, on the 16th of January 1809, he lost his left arm. Sir David Baird received the thanks of both Houses of Parliament for his services at Corunna; “an honor of which,” he remarked in his reply to the House of Peers, “no one can be more fully sensible than myself, having had the good fortune to be deemed worthy of this eminent distinction on four several occasions;” alluding to his name having been included in the votes of thanks for the operations of the army in India in 1799, for those of Egypt in 1801, and in the Danish expedition in 1807.