The first records of Penniston’s privateering are from July 1704 when French privateer Captain Davy captured ships off the Capes of Delaware. Adrian Claver in his ship Castel del Rey was sent to catch Davy but failed; upon his return, Claver set out again after Davy, this time with Penniston alongside in the sloopSetty. They returned in August, still unsuccessful, and Davy moved on to menace ships off Tarpaulin Cove. Claver and Penniston sailed together again in early 1705, this time against the Spanish, cruising off Venezuela before returning in August with a Spanish prize ship taken near Havana. Penniston was in port the following month to sell off a captured prize ship of his own full of wine and brandy. While ashore, his sailors met up with the crew of fellow privateer Captain Gincks’ ship Dragon and began a drunken riot. They beat several men, harassed the local sheriff, and killed a Lieutenant who happened into the fracas. Soldiers from the local Royal Navy ship arrived to quellthe riot and arrest the perpetrators; the Lieutenant’s killer was tried and hung. Claver’s Castel del Rey was now under the command of Otto Van Tuyl. Penniston’s Setty and Regnier Tongrelow’s New York Galley along with Van Tuyl and their tender left for the West Indies in December 1705, though Van Tuyl was killed when his ship was wrecked leaving New York harbor. The others used Barbados and Bermuda as bases to raid the Caribbean. Penniston sent back a series of captured prize ships before he and Tongrelow combined to take several vessels from a French convoy near Petit-Goave. Tongrelow searched for a large Spanish vessel which Burches had forced ashore, and shortly afterward Penniston engaged a group of French vessels. He was known for fearlessly attacking groups of targets, and engaged an 18-gun vessel and a 24-gun vessel simultaneously. After the Setty was badly mauled, with several sailors killed and Penniston having lost an arm, they were forced to retreat. Penniston tried to make it to port in Jamaica but the heavily damaged Setty sank en route and was lost with all hands. It was over 10 years later in 1717 that his heirs were finally granted “the quantity of fifty ounces of Plate aforesaid, for Sloop hire and Service done by Capt. Penniston in an Expedition against some ffrench Privateers.”