The Regiment's Military Band was known as the Band of His Majesty's King's Colonials. Members of the band wore the First Pattern felt hat with the Full Dress uniform but it differed from that of the regular 4th County of London (King’s Colonials) Imperial Yeomanry felt hat in that its plume had a white base. The Bandmaster's felt hat is noted by Keith Hook as having a gilt lyre badge below the Regimental badge to the front and turned up side of the headdress with the other band members wearing a Second Pattern Regimental badge in their Full Dress hats and Undress caps as as can be seen in the accompanying photographs with matching collar badges. Sergeant Henry C. Bottle, a clarinetist in the military band of the King Edward’s Horse describes the uniform in The King Edward’s Horse Old Comrades Association Bulletin, Number 32: Cap - Brown with a red band; Jacket – Brown, small gilt buttons, heavy red braid epaulettes and red braid cords with two-pointed gilt metal tabs at end; Belt (Lancer waist belt in King Edwards Horse colours – King Edward VII racing colours); Overalls – Brown with double red stripes; Boots – Black wellingtons inside overalls. The Undress uniform khaki forage cap again differed from that worn by the regular 4th County of London (King’s Colonials) Imperial Yeomanry by having a scarlet top of the crown and was worn with a gilt King's Crown lyre badge to the front (similar in style to that worn as worn as a British Army bandsman's arm and cap badge (1902-1952). Interestingly in the photograph taken in 1904 of the band, the Bandmaster has the Second Pattern Regimental badge in his Undress cap (and on his cross belt) as per the other band members. The Bandmaster's tunic is worn with shoulder scales and not the red braid epaulettes and red braid cords with two-pointed gilt metal tabs at end worn by the other members of the band.
His Majesty's band of the King's Colonials/King Edward's Horse released a number of recordings as phonographs and early gramophone recordings including the Chocolate Soldier Waltz (Straus), Teddy Bears Picnic and the Bravada March recorded circa 1910-14.