When the Second World War began, Gough was recalled from the Territorial Army Reserve of Officers and as a Captain rejoined the London Rifle Brigade, posted to H Company of the 2nd Battalion. However two months after the Russian invasion of Finland in December 1939, the British government expressed a desire of lending clandestine support to the Finns, and so Gough left the London Rifle Brigade in favour of the 5th (Ski) Battalion of the Scots Guards. This was an experimental unit, a factor which no doubt attracted the adventurous Gough who was not in the least deterred by obligatory loss of rank, and it consisted entirely of volunteers who were experienced in skiing and mountaineering. Needless to say this unit attracted a wide range of characters who went on to achieve distinction with such pioneering units as the Chindits and the SAS; among them was David Stirling, the founder of the Special Air Service. After a period of intense training and a brief spell in the French Alps, it was planned that the force would be posted to Norway in March, from where they would make their way to Finland to help fight the Soviet invasion. However on the eve of setting sail there came the news that the situation in Finland was fast becoming hopeless, and so the operation was cancelled. Gough returned to the London Rifle Brigade,
