The outbreak of war found COSSACK'S division at Alexandria, Egypt. By the next day, they were patrolling off Crete and then went on to Malta. There, the destroyer picked up her first convoy. COSSACK was engaged on more convoy escort duty until 7th/8th November. That night, she collided with one of the ships under her charge. Four men were killed in COSSACK and ZULU had to send across a party to free one of the casualties trapped in plating, which had been curled back by the impact. COSSACK was sent for repairs to Leith, England thus missing further action.

In January 1940, AFRIDI went in for repairs so Captain Vian, her commander, exchanged ships with Commander Sherbrooke. COSSACK was now leader of the 4th Destroyer Flotilla (4th DF). On 15th February, Captain Vian received reports that the 13,580 ton German supply tanker ALTMARK had been sighted off Trondheim, Norway. Her guns had been removed and she was posing as a merchant ship to assure free passage between the Norwegian offshore islands and the mainland. No one had a clear idea of what ALTMARK looked like. At last, on 16th February, HMS ARETHUSA, HMS INTREPID and HMS IVANHOE intercepted ALTMARK. The German ship received a shot across her bow in an effort to force her out of Norwegian territorial waters. Quickly, the ALTMARK slipped away and found shelter in a narrow inlet in Jossingfiord. Due to Norway's neutrality and for diplomatic reasons, a British ship could not board a German vessel while in Norwegian waters. Through negotiations with the Norwegians, Captain Vian was permitted to approach the tanker and land a boarding party. If nothing illicit were found, the tanker would be allowed free passage. At 2312, COSSACK approached the German ship. A boarding party consisting of three officers and thirty men was ready to move on a moment's notice. While coming alongside, the big tanker tried to crash her heavy stern into the destroyer's thin plates. Expert seamanship saved the Tribal from serious damage. Before ALTMARK was seized, four Germans were killed and five wounded. When the boarding party searched the ship, they discovered and rescued 299 captives in the hold of the ship. When the destroyer arrived in the UK, the British press learned of the rescue and COSSACK was instantly elevated to fame in the headlines of the world's newspapers. COSSACK's stem plating had to be repaired as a result of bumping into ALTMARK but it was a small price to pay for the saving of human lives. After this incident, Captain Vian returned to AFRIDI and the destroyers reverted to their North Sea patrol and convoy rescue duties.

During the Second Battle of Narvik on 13th April 1940, COSSACK ran aground and sustained serious damage. Repairs at Skelfiord, Norway took several days, On 29th April, she arrived safely at Portsmouth, destored, then went on to Southampton for major repairs and a refit at Thornycroft's Yard. On 15th June, the repairs were completed and Captain Vian assumed command of COSSACK again. The destroyer became the permanent leader of the 4th DF from this point on. She spent the month of August at Scapa Flow waiting for action then moved to Rosyth, England. There, Captain Vian exercised the 4th DF in case the invasion of Britain materialized. More action occurred on the 13th/14th October when COSSACK lead ASHANTI, HMS SIKH and HMS MAORI to attack a German convoy off Norway. A shell hole in COSSACK was the only damage to the British ships in what was a very successful operation.

COSSACK began 1941 with a refit in Thornycroft's Yard. It lasted from 7th January to 20th February and focused on repairing damaged floating dock and weather damage sustained at Scapa Flow. COSSACK'S bottom, corrugated by high speed in rough weather was straightened out and the ammunition hatches made watertight again. Most novel though, was the installation of the 286M radar antenna on the foremast. On 21st May, COSSACK and other ships of the 4th DF and Home Fleet set sail to search for the German battleship BISMARCK. After losing her hunters in the North Atlantic, BISMARCK was eventually tracked down and sunk.

For a while, the 4th DF was attached to the Home Fleet but they soon returned to Western Approaches duties. At the beginning of July, the ships were sent to Plymouth to defend British coastal convoys against raids by German destroyers and E-boats based in Brittany, France. More rapid firepower was needed against the fast moving E-boats so COSSACK, MAORI, SIKH and ZULU had single 2 pounder guns mounted on each side of the bridge. On 14th July, COSSACK, MAORI and SIKH arrived in Gibraltar to take part in Operation Substance, the reinforcement of Malta's garrison which was expected to repel an anticipated German airborne assault.

In October 1941, COSSACK left Gibraltar escorting a slow, UK bound convoy. On the night of the 23rd, she was at the rear of the convoy when a torpedo from U-563 hit forward of the bridge killing Captain Berthon and 158 of his officers and men. A further 29 were injured. Ammunition had exploded; No.1 boiler room was flooding and the survivors abandoned ship using Carley floats. The other escorts picked them up but COSSACK did not sink and her fire went out. Part of COSSACK's fo'c'sle had been blown away thus making the remainder of the hull more buoyant.

Believing that there was a chance that their ship might be saved, the 'Cossacks' reboarded the destroyer. No 1 Boiler Room bulkhead was shored and the other boilers were flashed up. They managed to get the engines running astern but COSSACK could not make much speed and it was a long way back to Gibraltar. The crew continued with their struggle to save the Tribal. A tug was in transit from Gibraltar but the weather worsened and the 'Cossacks' were taken off for the night. The once proud destroyer slipped beneath the surface the next day. In 1942, Canada issued a postage stamp showing HMCS IROQUOIS on her trials. Examinations showed it was COSSACK with her pennant number plainly visible.