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He was born at Inveresk, Scotland, near Edinburgh, the son of Major William Yule (1764-1839), translator of the Apothegms of Ali. Henry Yule was educated at Edinburgh, Addiscombe and Chatham, and joined the Bengal Engineers in 1840. He served in both the Sikh wars, was secretary to Colonel (afterwards Sir) Arthur Phayre's mission to Ava (1855), and wrote his Narrative of the Mission to the Court of Ava (1858).