On a visit to England, war broke out. Olive served briefly as an ambulance driver in Belgium, supplying her own vehicle, a lorry which she had converted into a 16-seater ambulance and christened 'Ella the elephant'. In 1915 Olive joined the Scottish Women's Hospitals and was sent to the Sainte-Savine field hospital, near Troyes, in France. Conditions at the field hospital were tough. Wounded men were housed in canvas tents connected by long lines of duckboards in muddy fields adjacent to the Château de Chanteloup. In November 1915, the unit was sent to the Macedonian front, landing at Salonika, Greece and moving up to Gevgelija on the Greco-Serbian border. Six weeks later the Bulgarian forces were advancing rapidly and the hospital had to be evacuated in 24 hours, a seemingly impossible task for 30 women, but luckily they were helped by 40 Royal Engineers. By midnight the whole staff had got away except the three female chauffeurs. It was Kelso King's decision to head for the nearest railway station. They managed to get themselves and their ambulances on the last train before the station was bombed. Thirteen French ambulance drivers, who tried to make their way to Salonika via a rough track by Doiran, were ambushed by the Bulgarians, their cars taken, and all killed or taken prisoner. By the end of July 1916, Olive had left the Scottish Women's Hospital and joined the Serbian army as a driver attached to the Headquarters of the Medical Service at Salonika. By this time the Serbs had lost most of their transport and 'Ella' was one of only three cars attached to the Medical Headquarters. On 18 August 1917, the day of the Great Thessaloniki Fire of 1917, Olive May Kelso King transported people and records to safety, driving for twenty four hours at a stretch. For this effort, Olive was awarded the Serbian silver medal for bravery.
Post-war activities and death
After the war, Olive set up seventeen canteens in Serbia to provide necessities at cost price or below. The last canteen closed in 1920. She was awarded the Order of St Sava for her post-war efforts. Back in Australia, Olive was active in the Girl Guides Australia and gave talks about her wartime experiences. During World War II she was an examiner at de Havilland Aircraft Pty Ltd. She moved to Melbourne in 1956 and died there in November 1958.