When the two troops of horse grenadier guards were disbanded in June 1788, Sykes was put on full pay without employment. In 1790 he was living in France with a Mrs Elizabeth Purslow, by whom he had a daughter, Eliza, but he reluctantly ended the liaison in deference to his father’s wishes, after a negotiation conducted through their friend Warren Hastings.
Sykes, whose will referred to ‘cruel creditors’, got into serious financial difficulties and went with his family to live in Germany in 1800. Scarlet fever killed his wife and one of his sons in 1804 and he too succumbed to the disease, less than two months after inheriting the baronetcy, 7 Mar. 1804.
