On 7 November 1900, Lieutenant Cockburn served in South Africa with the Royal Canadian Dragoons.
At Liliefontein, near the Komati River, a large force of Boer commandos sought to encircle a retreating British company comprised of two troops of Royal Canadian Dragoons.
The remnant of Lieutenant Cockburn’s troop of Dragoons fought desperately against 200 Boers intent on capturing the 12-pounder guns in their charge.
His handful of men successfully held off the Boers, but all became casualties, including Cockburn who was slightly wounded.
For his part in saving the guns, Lieutenant Cockburn received the Victoria Cross, one of three awarded for separate incidents in this action.
Cockburn died on a ranch in the south west corner of Saskatchewan on 12 July 1913.
Lieutenant Cockburn, with a handful of men, at a most critical moment held off the Boers to allow the guns to get away; to do so he had to sacrifice himself and his party, all of whom were killed, wounded, or taken prisoners, he himself being slightly wounded.
London Gazette, no.27307, 23 April 1901